Dynamical evaluations

DOI10.1016/j.crma.2004.09.015zbMath1065.60087OpenAlexW4232023762MaRDI QIDQ704247

Shige Peng

Publication date: 13 January 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2004.09.015

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (12)

Jensen's inequality for \(g\)-convex function under \(g\)-expectation ⋮ On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations ⋮ Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\) ⋮ Ong−evaluations with domains under jump filtration ⋮ Some properties of \(g\)-convex functions ⋮ 𝕃^p solutions of reflected backward stochastic differential equations with jumps ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case ⋮ Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation ⋮ Doubly reflected BSDEs with integrable parameters and related Dynkin games

Cites Work

• Unnamed Item
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Nonlinear expectations and nonlinear Markov chains

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