Cooperative hedging in the complete market under \(g\)-expectation constraint

DOI10.1007/s10255-011-0077-7zbMath1299.91136OpenAlexW2100339763MaRDI QIDQ475681

Qing Zhou

Publication date: 27 November 2014

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-011-0077-7

zbMATH Keywords

hedgingbackward stochastic differential equationNeyman-Pearson lemma\(g\)-probability

Mathematics Subject Classification ID

Cites Work

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