Filtration Consistent Nonlinear Expectations

François Coquet, Ying Hu, Jean Mémin and Shige Peng
Additional contact information
François Coquet: IRMAR, U.M.R. C.N.R.S. 6625, Campus de Beaulieu, Université Rennes 1, 35042 Rennes, Cédex, France
Ying Hu: IRMAR, U.M.R. C.N.R.S. 6625, Campus de Beaulieu, Université Rennes 1, 35042 Rennes, Cédex, France
Jean Mémin: IRMAR, U.M.R. C.N.R.S. 6625, Campus de Beaulieu, Université Rennes 1, 35042 Rennes, Cédex, France
Shige Peng: Department of Mathematics, Shangdong University, Jinan 250100, China

Chapter 9 in Recent Developments in Mathematical Finance, 2001, pp 99-116 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractFrom a general definition of nonlinear expectations, viewed as operators preserving monotonicity and constants, we derive, under rather general assumptions, the notions of conditional nonlinear expectation and nonlinear martingales. We prove that any such nonlinear martingale can be represented as the solution of a backward stochastic equation, and in particular admits continuous paths. In other words, it is a g-martingale.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812799579_0009 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812799579_0009 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812799579_0009

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().