Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces
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References listed on IDEAS
- Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010. "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, vol. 14(3), pages 449-472, September.
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KeywordsBSDE; Nonlinear expectation; Doob–Meyer decomposition;
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