TheS-Related Dynamic Convex Valuation in the Brownian Motion Setting
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Publication:5305274
DOI10.1080/07362990903546348zbMath1183.91062OpenAlexW2009558034MaRDI QIDQ5305274
Publication date: 19 March 2010
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990903546348
\(g\)-expectationdynamic convex valuation (DCV)\(\mathcal E_{g^2_k}\)-dominated DCVtime-consistent property
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Auctions, bargaining, bidding and selling, and other market models (91B26)
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