Representing filtration consistent nonlinear expectations as <mml:math altimg="si1.gif" display="inline" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http://www.elsevier.com/xml/common/dtd" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:cals="http://www.elsevier.com/xml/common/cals/dtd"><mml:mi>g</mml:mi></mml:math>-expectations in general probability spaces-Reference-Cited by-同舟云学术

Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces

Published:2012-04 Issue:4 Volume:122 Page:1601-1626
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Cohen Samuel N.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference21 articles.

1. Dynamic risk measures: time consistency and risk measures from BMO martingales;Bion-Nadal;Finance and Stochastics,2008

2. Time consistent dynamic risk processes;Bion-Nadal;Stochastic Processes and their Applications,2009

3. A general theory of finite state backward stochastic difference equations;Cohen;Stochastic Processes and their Applications,2010

4. Samuel N. Cohen, Robert J. Elliott, Existence, uniqueness and comparisons for BSDEs in general spaces, The Annals of Probability (2010) (in press).

5. Backward stochastic difference equations and nearly-time-consistent nonlinear expectations;Cohen;SIAM Journal on Control and Optimization,2011

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