Law of large numbers under the nonlinear expectation

DOI10.1090/S0002-9939-2011-10814-1zbMath1230.60023OpenAlexW2011527854MaRDI QIDQ3093460

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Publication date: 17 October 2011

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-2011-10814-1

zbMATH Keywords

law of large numbersbackward stochastic differential equationreflected backward stochastic differential equationnonlinear expectation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

A law of large numbers under the nonlinear expectation

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• On Jensen's inequality for \(g\)-expectation
• A result on the probability measures dominated by \(g\)-expectation
• Backward Stochastic Differential Equations in Finance

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