Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
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Publication:2476405
DOI10.1214/105051607000000294zbMath1145.60032arXiv0801.3340OpenAlexW3106101822MaRDI QIDQ2476405
Publication date: 19 March 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0801.3340
\(g\)-expectationbackward stochastic differential equationrisk measureconvexity of \(g\)-expectationtranslation invariance of \(g\)-expectation
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