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Generalized Peng's g-expectations and related properties

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  • Hu, Feng
  • Chen, Zengjing

Abstract

In this paper, we give the extensions of Peng's g-expectations which are called generalized Peng's g-expectations and investigate their related properties. Furthermore, we prove the stability theorem of generalized Peng's g-expectations.

Suggested Citation

  • Hu, Feng & Chen, Zengjing, 2010. "Generalized Peng's g-expectations and related properties," Statistics & Probability Letters, Elsevier, vol. 80(3-4), pages 191-195, February.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:3-4:p:191-195
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    References listed on IDEAS

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    1. Briand, Ph. & Delyon, B. & Hu, Y. & Pardoux, E. & Stoica, L., 2003. "Lp solutions of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 109-129, November.
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    4. Jiang, Long, 2005. "Representation theorems for generators of backward stochastic differential equations and their applications," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 1883-1903, December.
    5. Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
    6. Jiang, Long, 2006. "A note on g-expectation with comonotonic additivity," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1895-1903, November.
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    Cited by:

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