On the integral representation of \(g\)-expectations with terminal constraints
From MaRDI portal
Publication:2400639
DOI10.1016/j.jmaa.2017.02.058zbMath1378.60084arXiv1502.03875OpenAlexW2964019729MaRDI QIDQ2400639
Publication date: 29 August 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.03875
backward stochastic differential equations\(g\)-expectationsChoquet expectationsconditional \(g\)-expectations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Representation of the penalty term of dynamic concave utilities
- On the integral representation of \(g\)-expectations
- The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
- Non-additive measure and integral
- Conjugate convex functions in optimal stochastic control
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- Choquet expectation and Peng's \(g\)-expectation
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
- A comonotonic theorem for BSDEs
- Risk measures via \(g\)-expectations
- \(L^p\) solutions of backward stochastic differential equations.
- Theory of capacities
- An integral representation theorem of g-expectations
- Subjective Probability and Expected Utility without Additivity
- Stochastic Differential Utility
- An Introductory Approach to Duality in Optimal Stochastic Control
- Backward Stochastic Differential Equations in Finance
- Ambiguity, Risk, and Asset Returns in Continuous Time
