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Jensen inequality for superlinear expectations
9 references·0 citing·35 second hop
Jensen inequality for superlinear expectations (2019)Jensen inequality for superlinear expecta…Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Nonlinear Expectations and St…Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Ambiguous Volatility and Asse…Nonlinear Expectations and Stochastic Calculus under Uncertainty (2010)Nonlinear Expectations and St…Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation (2008)Multi-dimensional G-Brownian …Stochastic Analysis and Applications (2007)Stochastic Analysis and Appli…G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)G-Expectation, G-Brownian Mot…G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty (2007)G-Brownian Motion and Dynamic…Jensen's inequality for g-expectation: part 1 (2003)Jensen's inequality for g-exp…On pathwise stochastic integration (1995)On pathwise stochastic integr…Adapted solution of a backward stochastic differential equation (1990)A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation (2000)Jensen's inequality for g-expectation, Part 2 (2003)Representation theorems for generators of backward stochastic differential equations and their applications (2005)Backward stochastic differential equations with a uniformly continuous generator and related g -expectation (2010)Coherent Measures of Risk (1999)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Calcul Stochastique et Problèmes de Martingales (1979)Stochastic Integration and $L^p$-Theory of Semimartingales (1981)Quasi-sure Stochastic Analysis through Aggregation (2011)Ambiguous volatility, possibility and utility in continuous time (2013)Dual formulation of second order target problems (2013)Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Differential Equations (2005)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Financial markets with volatility uncertainty (2014)Optimal stopping under nonlinear expectation (2014)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Impact of Uncertainty Shocks (2009)Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (2016)Arbitrage and duality in nondominated discrete-time models (2015)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Lévy driven moving averages and semimartingales (2009)Discrete-time option pricing with stochastic liquidity (2016)Quasi-continuous random variables and processes under the G -expectation framework (2016)Random $G$-expectations (2013)Pathwise construction of stochastic integrals (2015)Reflected solutions of backward stochastic differential equations driven by G-Brownian motion (2017)
this work references cited by second hop

References

  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty594 cited
  • 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation556 cited
  • 2013Ambiguous Volatility and Asset Pricing in Continuous Time236 cited
  • 1995On pathwise stochastic integration177 cited
  • 2007G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty143 cited
  • 2007Stochastic Analysis and Applications91 cited
  • 2010Nonlinear Expectations and Stochastic Calculus under Uncertainty81 cited
  • 2003Jensen's inequality for g-expectation: part 147 cited

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