Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management
From MaRDI portal
Publication:2312223
DOI10.1155/2013/398750zbMath1422.91785OpenAlexW2155889421WikidataQ58921555 ScholiaQ58921555MaRDI QIDQ2312223
Publication date: 5 July 2019
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/398750
Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (2)
Optimal unbiased estimation for maximal distribution ⋮ Retraction note: ``Sublinear expectation nonlinear regression for the financial risk measurement and management
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quasi-sure stochastic analysis through aggregation
- Uniqueness of the representation for \(G\)-martingales with finite variation
- Wellposedness of second order backward SDEs
- Martingale representation theorem for the \(G\)-expectation
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Martingale characterization of \(G\)-Brownian motion
- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- Multilinear forms and measures of dependence between random variables
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Dual formulation of second order target problems
- A general downcrossing inequality for \(g\)-martingales
- Law of large numbers and central limit theorem under nonlinear expectations
- Nonlinear expectations and nonlinear Markov chains
- Risk measures via \(g\)-expectations
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- On Strong Mixing Conditions for Stationary Gaussian Processes
- Backward Stochastic Differential Equations in Finance
- Nonlinear Expectations and Stochastic Calculus under Uncertainty
- Me\fehler und Information
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Robust Statistics
- Stochastic finance. An introduction in discrete time
This page was built for publication: Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management