On the integral representation of \(g\)-expectations

DOI10.1016/J.CRMA.2010.04.008zbMath1193.60078OpenAlexW1996284532MaRDI QIDQ974028

Ming Shang Hu

Publication date: 26 May 2010

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.2010.04.008

Mathematics Subject Classification ID

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

Related Items (3)

On the integral representation of \(g\)-expectations with terminal constraints ⋮ A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications ⋮ Dynkin game under \(g\)-expectation in continuous time

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Non-additive measure and integral
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Choquet expectation and Peng's \(g\)-expectation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Minimax pricing and Choquet pricing
• Theory of capacities
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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