The domination of \(g\)-evaluations and Choquet evaluations

DOI10.1007/s10114-013-1630-5zbMath1266.60104OpenAlexW85160915MaRDI QIDQ1949671

Ming Shang Hu, Kun He

Publication date: 14 May 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-013-1630-5

zbMATH Keywords

BSDEs\(g\)-expectations\(g\)-evaluationsChoquet evaluations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Adapted solution of a backward stochastic differential equation
• The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Theory of capacities
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time
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