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Lenglart domination inequalities for g-expectations

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  • Zhao, Guoqing

Abstract

In this paper, we consider a class of domination relations and investigate Lenglart domination inequalities for g-expectations introduced via backward stochastic differential equations.

Suggested Citation

  • Zhao, Guoqing, 2009. "Lenglart domination inequalities for g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(22), pages 2338-2342, November.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:22:p:2338-2342
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    References listed on IDEAS

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    1. Chen, Zengjing & Peng, Shige, 2000. "A general downcrossing inequality for g-martingales," Statistics & Probability Letters, Elsevier, vol. 46(2), pages 169-175, January.
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    3. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
    4. Shige Peng, 2006. "Modelling Derivatives Pricing Mechanisms with Their Generating Functions," Papers math/0605599, arXiv.org.
    5. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    6. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    7. Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
    8. Royer, Manuela, 2006. "Backward stochastic differential equations with jumps and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1358-1376, October.
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    Cited by:

    1. Zhao, Guoqing & Zhai, Kun & Zong, Gaofeng, 2018. "On optimal stopping and free boundary problems under ambiguity," Statistics & Probability Letters, Elsevier, vol. 139(C), pages 129-134.

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