Representation of filtration-consistent nonlinear expectation by g-expectation in general framework

DOI10.1080/03610926.2020.1734829OpenAlexW3010458918MaRDI QIDQ5079171

Rong-Lin Ji, Qun Feng, Xuejun Shi

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1734829

zbMATH Keywords

infinite horizonnonlinear expectationBSDEg-expectation

Mathematics Subject Classification ID

Statistics (62-XX) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99)

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Cites Work

• One-dimensional BSDEs with finite and infinite time horizons
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
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