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On the asymptotic approximation of inverse moment under sub-linear expectations · Study

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ArticleOn the asymptotic approximation of inverse moment under sub-linear expectations

Yi Wu2018

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Articlebronze2018

On the asymptotic approximation of inverse moment under sub-linear expectations

25 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1997Backward Stochastic Differential Equations in Finance 2002Ambiguity, Risk, and Asset Returns in Continuous Time 1987Expected utility with purely subjective non-additive probabilities 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty 1999Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type

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Year2018

Typearticle

Published2018-08-08

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2018.08.010

openalex_workW2886038564

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