A representation for filtration-consistent nonlinear expectations and its application

DOI10.1080/03610918.2020.1825737OpenAlexW3089604445MaRDI QIDQ5055194

Shou-mei Li, Shi-qiu Zheng

Publication date: 13 December 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1825737

zbMATH Keywords

Doob-Meyer decomposition\(g\)-expectationbackward stochastic differential equationfiltration-consisitent expectationtime-consistent risk measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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