Properties of minimal mathematical expectations

DOI10.1016/j.aml.2005.01.003zbMath1092.60026OpenAlexW2053813748MaRDI QIDQ812740

Yongqing Wei, Peiyu Liu

Publication date: 24 January 2006

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2005.01.003

zbMATH Keywords

\(g\)-expectationbackward stochastic differential equationminimal conditional expectationminimal expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Choquet expectation and Peng's \(g\)-expectation
• Subjective Probability and Expected Utility without Additivity
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time