On the minimal members of convex expectations with constraints

DOI10.1186/s13660-015-0718-0zbMath1337.60166OpenAlexW1489228478WikidataQ59435106 ScholiaQ59435106MaRDI QIDQ259647

Long Jiang, Rong-Lin Ji, De-Jian Tian

Publication date: 17 March 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-015-0718-0

zbMATH Keywords

convex expectationsminimal membersublinear expectations

Mathematics Subject Classification ID

Stochastic analysis (60H99)

Cites Work

• On the minimal members of convex expectations
• Choquet expectation and Peng's \(g\)-expectation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Risk measures via \(g\)-expectations
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