\( G\)-expectation approach to stochastic ordering
DOI10.3934/fmf.2021012zbMath1500.91137OpenAlexW4285230194MaRDI QIDQ2085830
Publication date: 19 October 2022
Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/fmf.2021012
monotonicityconvexitystochastic orderingconvex ordernonlinear expectationsublinear expectation\( G \)-Brownian motion\( G \)-expectation\( G \)-forward-backward SDEincreasing order
Inequalities; stochastic orderings (60E15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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