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Kolmogorov type and general extension results for nonlinear expectations
16 references·0 citing·36 second hop
Kolmogorov type and general extension results for nonlinear expectations (2015)Kolmogorov type and general extension res…Stochastic Finance (2011)Stochastic FinanceMartingale representation theorem for the G -expectation (2010)Martingale representation the…Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation (2008)Multi-dimensional G-Brownian …G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)G-Expectation, G-Brownian Mot…The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures (2006)The Structure of m–Stable Set…Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Second‐order backward stochas…Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Dynamic Monetary Risk Measure…Convex risk measures and the dynamics of their penalty functions (2006)Convex risk measures and the …Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Filtration-consistent nonlinear expectations and related g-expectations (2002)Filtration-consistent nonline…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Coherent risk measures (2000)Coherent risk measuresStochastic Controls (1999)Stochastic ControlsCoherent Measures of Risk (1999)Coherent Measures of RiskMinimax Theorems (1953)Minimax TheoremsCores of convex games (1971)Modelling Extremal Events (1997)On law invariant coherent risk measures (2001)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Backward Stochastic Differential Equations in Finance (1997)Convex measures of risk and trading constraints (2002)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Wellposedness of second order backward SDEs (2011)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Continuous Martingales and Brownian Motion (1999)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (2006)DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)Stochastic Differential Equations (2003)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Robust control and model misspecification (2006)RISK MEASURES ON ORLICZ HEARTS (2009)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Stochastic Controls1,243 cited
  • 1953Minimax Theorems831 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation556 cited
  • 2011Stochastic Finance424 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2000Coherent risk measures308 cited
  • 2002Filtration-consistent nonlinear expectations and related g-expectations256 cited
  • 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs239 cited
  • 2010Martingale representation theorem for the G -expectation201 cited
  • 2006The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures195 cited
  • 2006

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Convex risk measures and the dynamics of their penalty functions
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