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scientific article; zbMATH DE number 1867094 - MaRDI portal

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zbMath1011.60038MaRDI QIDQ4792528

Ying Hu, François Coquet, Jean Mémin

Publication date: 25 May 2003

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Doob-Meyer decomposition backward stochastic differential equations non-additive probabilities \(g\)-martingale finance nonlinear martingale Brownian filtration Girsanov transformations \(\mathcal E\)-supermartingale decompositions filtration-consistent nonlinear expectations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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