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Jensen inequality for superlinear expectations · Study

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ArticleJensen inequality for superlinear expectations

Qian Lin2019

Article2019

Jensen inequality for superlinear expectations

32 citations·0/0 files stored·Statistics & Probability Letters

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Stochastic processes and financial applications Risk and Portfolio Optimization Mathematical Inequalities and Applications

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References

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 2013Ambiguous Volatility and Asset Pricing in Continuous Time 1995On pathwise stochastic integration 2007G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty 2007Stochastic Analysis and Applications 2010Nonlinear Expectations and Stochastic Calculus under Uncertainty

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Details

Year2019

Typearticle

Published2019-04-02

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spl.2019.03.006

openalex_workW2934411391

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