\(g\)-variance

DOI10.1007/s10114-010-7582-0zbMath1200.60045OpenAlexW4241148225MaRDI QIDQ1956506

Tao Hao

Publication date: 22 September 2010

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

Full work available at URL: https://doi.org/10.1007/s10114-010-7582-0

zbMATH Keywords

\(g\)-expectationbackward stochastic differential equationconditional \(g\)-expectation\(g\)-variance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Jensen's inequality for \(g\)-expectation. II
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Choquet expectation and Peng's \(g\)-expectation
• Infinite dimensional analysis. A hitchhiker's guide
• A general converse comparison theorem for backward stochastic differential equations
• A property of backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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