Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces

DOI10.1016/j.spa.2011.12.004zbMath1254.60045arXiv1102.5287OpenAlexW1590136961MaRDI QIDQ424490

Samuel N. Cohen

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.5287

zbMATH Keywords

Doob-Meyer decompositionnonlinear expectationBSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Stochastic integral equations (60H20)

Related Items (11)

A representation for filtration-consistent nonlinear expectations and its application ⋮ Mean-field backward stochastic differential equations in general probability spaces ⋮ Markov chains under nonlinear expectation ⋮ A framework of BSDEs with stochastic Lipschitz coefficients ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ A general comparison theorem for reflected BSDEs ⋮ Undiscounted Markov Chain BSDEs to Stopping Times ⋮ Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration ⋮ Gittins' theorem under uncertainty

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