The application of multi-dimensional Jensen’s inequality for G-martingale-Reference-Cited by-同舟云学术

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The application of multi-dimensional Jensen’s inequality for G-martingale

Published:2019-04-07 Issue:3 Volume:37 Page:499-508
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Bao Kang Yuan¹

Affiliation:

1. School of Mathematics Science, Chongqing Normal University, Chongqing, China

Funder

Chong Qing Normal University

National Natural Science Fund advance research project of Chong Qing Normal University

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07362994.2019.1585264

Reference17 articles.

1. Coherent Measures of Risk

2. Adapted solution of a backward stochastic differential equation

3. Filtration-consistent nonlinear expectations and related g -expectations

4. Ambiguity, Risk, and Asset Returns in Continuous Time

5. Backward Stochastic Differential Equations in Finance

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