IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v80y2010i5-6p519-526.html
   My bibliography  Save this article

Dynkin's formula under the G-expectation

Author

Listed:
  • Chen, Xiaoyan

Abstract

In 2006, Peng introduced a new kind of nonlinear expectation--G-expectation (see Peng, 2006). And he also established a theory of stochastic calculus under the G-expectation (see [4], [5] and [7]). In this paper, we will prove a nonlinear Dynkin's formula when the generator of a G-Itô's diffusion is well defined in the framework of the G-expectation.

Suggested Citation

  • Chen, Xiaoyan, 2010. "Dynkin's formula under the G-expectation," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 519-526, March.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:5-6:p:519-526
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(09)00455-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
    2. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
    3. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nendel, Max, 2019. "On Nonlinear Expectations and Markov Chains under Model Uncertainty," Center for Mathematical Economics Working Papers 628, Center for Mathematical Economics, Bielefeld University.
    2. Max Nendel, 2021. "Markov chains under nonlinear expectation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 474-507, January.
    3. Qian Lin & Frank Riedel, 2021. "Optimal consumption and portfolio choice with ambiguous interest rates and volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 1189-1202, April.
    4. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
    5. Wang, Wei & Xu, Huifu & Ma, Tiejun, 2023. "Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation," European Journal of Operational Research, Elsevier, vol. 306(1), pages 322-347.
    6. Tim Leung & Yoshihiro Shirai, 2015. "Optimal derivative liquidation timing under path-dependent risk penalties," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-32.
    7. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
    8. Fei Sun & Jingchao Li & Jieming Zhou, 2018. "Dynamic risk measures with fluctuation of market volatility under Bochne-Lebesgue space," Papers 1806.01166, arXiv.org, revised Mar 2024.
    9. Xia Han & Bin Wang & Ruodu Wang & Qinyu Wu, 2021. "Risk Concentration and the Mean-Expected Shortfall Criterion," Papers 2108.05066, arXiv.org, revised Apr 2022.
    10. Assa, Hirbod & Zimper, Alexander, 2018. "Preferences over all random variables: Incompatibility of convexity and continuity," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 71-83.
    11. William B. Haskell & Wenjie Huang & Huifu Xu, 2018. "Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions," Papers 1805.06632, arXiv.org.
    12. Andreas H. Hamel & Frank Heyde, 2021. "Set-Valued T -Translative Functions and Their Applications in Finance," Mathematics, MDPI, vol. 9(18), pages 1-33, September.
    13. Daniel Bartl & Samuel Drapeau & Ludovic Tangpi, 2017. "Computational aspects of robust optimized certainty equivalents and option pricing," Papers 1706.10186, arXiv.org, revised Mar 2019.
    14. Maria Scutellà & Raffaella Recchia, 2013. "Robust portfolio asset allocation and risk measures," Annals of Operations Research, Springer, vol. 204(1), pages 145-169, April.
    15. Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
    16. Harry Joe & Haijun Li, 2011. "Tail Risk of Multivariate Regular Variation," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 671-693, December.
    17. Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    18. Enrico G. De Giorgi & David B. Brown & Melvyn Sim, 2010. "Dual representation of choice and aspirational preferences," University of St. Gallen Department of Economics working paper series 2010 2010-07, Department of Economics, University of St. Gallen.
    19. Föllmer Hans, 2014. "Spatial risk measures and their local specification: The locally law-invariant case," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 1-23, March.
    20. Righi, Marcelo Brutti & Borenstein, Denis, 2018. "A simulation comparison of risk measures for portfolio optimization," Finance Research Letters, Elsevier, vol. 24(C), pages 105-112.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:80:y:2010:i:5-6:p:519-526. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.