Generalized Peng's g-expectations and related properties

被引：8
|
作者：
Hu, Feng [1 ]
Chen, Zengjing [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2010年 / 80卷 / 3-4期
关键词：
STOCHASTIC DIFFERENTIAL-EQUATIONS; JENSENS INEQUALITY; RISK;
D O I：
10.1016/j.spl.2009.10.006
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we give the extensions of Peng's g-expectations which are called generalized Peng's g-expectations and investigate their related properties. Furthermore, we prove the stability theorem of generalized Peng's g-expectations. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：191 / 195
页数：5
相关论文
共 50 条
  • [1] Jensen's Inequality for Generalized Peng's g-Expectations and Its Applications
    Zong, Zhaojun
    ABSTRACT AND APPLIED ANALYSIS, 2013,
  • [2] Filtration-consistent nonlinear expectations and related g-expectations
    François Coquet
    Ying Hu
    Jean Mémin
    Shige Peng
    Probability Theory and Related Fields, 2002, 123 : 1 - 27
  • [3] Filtration-consistent, nonlinear expectations and related g-expectations
    Coquet, F
    Hu, Y
    Mémin, J
    Peng, SG
    PROBABILITY THEORY AND RELATED FIELDS, 2002, 123 (01) : 1 - 27
  • [4] RANDOM G-EXPECTATIONS
    Nutz, Marcel
    ANNALS OF APPLIED PROBABILITY, 2013, 23 (05): : 1755 - 1777
  • [5] Extended conditional G-expectations and related stopping times
    Hu, Mingshang
    Peng, Shige
    PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 2021, 6 (04): : 369 - 390
  • [6] On the integral representation of g-expectations
    Hu, Mingshang
    COMPTES RENDUS MATHEMATIQUE, 2010, 348 (9-10) : 571 - 574
  • [7] Stochastic ordering by g-expectations
    Ly, Sel
    Privault, Nicolas
    PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 2021, 6 (01): : 61 - 98
  • [8] Market delay and G-expectations
    Dolinsky, Yan
    Zouari, Jonathan
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (02) : 694 - 707
  • [9] Numerical schemes for G-Expectations
    Dolinsky, Yan
    ELECTRONIC JOURNAL OF PROBABILITY, 2012, 17 : 1 - 15
  • [10] Weak approximation of G-expectations
    Dolinsky, Yan
    Nutz, Marcel
    Soner, H. Mete
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2012, 122 (02) : 664 - 675
12345