-
4
-
-
84883606894
-
G-expectation, G-Brownian motion and related stochastic calculus of Itô's type
-
New York: Springer-Verlag
-
Peng S. G-expectation, G-Brownian motion and related stochastic calculus of Itô's type. In: Stochastic Analysis and Applications, The Abel Symposium 2005, Abel Symposia · 2. New York: Springer-Verlag, 2006, 541-567.
-
(2006)
Stochastic Analysis and Applications, The Abel Symposium 2005, Abel Symposia · 2
, pp. 541-567
-
-
Peng, S.1
-
5
-
-
71249153843
-
Law of large numbers and central limit theorem under nonlinear expectations
-
arXiv: math. PR/07-02358v1 13 Feb
-
Peng S. Law of large numbers and central limit theorem under nonlinear expectations. arXiv: math. PR/07-02358v1 13 Feb 2007.
-
(2007)
-
-
Peng, S.1
-
7
-
-
55649091647
-
Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
-
Peng S. Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. Stochastic Processes Appl, 118(12): 2223-2253 (2008).
-
(2008)
Stochastic Processes Appl
, vol.118
, Issue.12
, pp. 2223-2253
-
-
Peng, S.1
-
8
-
-
66749128520
-
A new central limit theorem under sublinear expectations
-
arXiv:0803.s2656v1 [math.PR], 18 Mar
-
Peng S. A new central limit theorem under sublinear expectations. arXiv: 0803. 2656v1 [math. PR] 18 Mar 2008.
-
(2008)
-
-
Peng, S.1
-
9
-
-
0031542653
-
Backward stochastic differential equation in finance
-
El Karoui N, Peng S, Quenez M C. Backward stochastic differential equation in finance. Math Finance, 7(1): 1-71 (1997).
-
(1997)
Math Finance
, vol.7
, Issue.1
, pp. 1-71
-
-
El Karoui, N.1
Peng, S.2
Quenez, M.C.3
-
11
-
-
0036077604
-
Ambiguity, risk and asset returns in continuous time
-
Chen Z, Epstein L. Ambiguity, risk and asset returns in continuous time. Econometrica, 70(4): 1403-1443 (2002).
-
(2002)
Econometrica
, vol.70
, Issue.4
, pp. 1403-1443
-
-
Chen, Z.1
Epstein, L.2
-
13
-
-
84953009457
-
Pricing and hedging derivative securities in markets with uncertain volatilities
-
Avellaneda M, Levy A, Paras A. Pricing and hedging derivative securities in markets with uncertain volatilities. Appl Math Finance, 2: 73-88 (1995).
-
(1995)
Appl Math Finance
, vol.2
, pp. 73-88
-
-
Avellaneda, M.1
Levy, A.2
Paras, A.3
-
14
-
-
84963386901
-
Uncertain volatility and the risk free synthesis of derivatives
-
Lyons T. Uncertain volatility and the risk free synthesis of derivatives. Appl Math Finance, 2: 117-133 (1995).
-
(1995)
Appl Math Finance
, vol.2
, pp. 117-133
-
-
Lyons, T.1
-
15
-
-
71249153143
-
Second order backward stochastic differential equations and fully non-linear parabolic PDEs
-
arXiv:math.PR/0509295v1 14 Sep
-
Cheridito P, Soner H M, Touzi N, et al. Second order backward stochastic differential equations and fully non-linear parabolic PDEs. arXiv: math. PR/0509295 v1 14 Sep 2005.
-
(2005)
-
-
Cheridito, P.1
Soner, H.M.2
Touzi, N.3
-
17
-
-
33746876027
-
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
-
Denis L, Martini C. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Ann Appl Probab, 16(2): 827-852 (2006).
-
(2006)
Ann Appl Probab
, vol.16
, Issue.2
, pp. 827-852
-
-
Denis, L.1
Martini, C.2
-
18
-
-
66749087552
-
Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion pathes
-
arXiv:002.1240v1 [math.PR] 9 Feb
-
Denis L, Hu M, Peng S. Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion pathes. arXiv: arXiv:002.1240v1 [math.PR] 9 Feb, 2008.
-
(2008)
-
-
Denis, L.1
Hu, M.2
Peng, S.3
-
19
-
-
71249153607
-
Explicit Solutions of G-heat Equation with a Class of Initial Conditions by G-Brownian Motion
-
Submitted paper
-
Hu M. Explicit solutions of G-heat equation with a class of initial conditions by G-Brownian motion. Submitted paper, 2008.
-
(2008)
-
-
Hu, M.1
-
20
-
-
66749166022
-
On representation theorem of G-expectations and paths of G-Brownian motion
-
Hu M, Peng S. On representation theorem of G-expectations and paths of G-Brownian motion. Acta Math Appl Sinica English Series, 25(3): 1-8 (2009).
-
(2009)
Acta Math Appl Sinica English Series
, vol.25
, Issue.3
, pp. 1-8
-
-
Hu, M.1
Peng, S.2
-
21
-
-
71249125122
-
Etude des Modèles non dominé en Mathématiques Financières
-
Thèse, Université d'Evry Val d'Esonne
-
Magali K. Etude des Modèles non dominé en Mathématiques Financières, Thèse, Université d'Evry Val d'Esonne, 2008.
-
(2008)
-
-
Magali, K.1
-
22
-
-
71249104534
-
Some properties of G-expectation
-
Preprint
-
Lin Q. Some properties of G-expectation, Preprint, 2008.
-
(2008)
-
-
Lin, Q.1
-
24
-
-
57149113777
-
Martingale characterization of G-Brownian motion
-
Xu J, Zhang B. Martingale characterization of G-Brownian motion. Stochastic Processes Appl, 119(1): 232-248 (2009).
-
(2009)
Stochastic Processes Appl
, vol.119
, Issue.1
, pp. 232-248
-
-
Xu, J.1
Zhang, B.2
-
26
-
-
7244231371
-
Filtration consistent nonlinear expectations and evaluations of contingent claims
-
Peng S. Filtration consistent nonlinear expectations and evaluations of contingent claims. Acta Math Appl Sin Engl Ser, 20(2): 1-24 (2004).
-
(2004)
Acta Math Appl Sin Engl Ser
, vol.20
, Issue.2
, pp. 1-24
-
-
Peng, S.1
-
27
-
-
20744446139
-
Nonlinear expectations and nonlinear Markov chains
-
Peng S. Nonlinear expectations and nonlinear Markov chains. Chinese Ann Math Ser B, 26(2): 159-184 (2005).
-
(2005)
Chinese Ann Math Ser B
, vol.26
, Issue.2
, pp. 159-184
-
-
Peng, S.1
-
28
-
-
33746876027
-
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
-
Denis L, Martini C. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Ann Appl Probab, 16(2): 827-852 (2006).
-
(2006)
Ann Appl Probab
, vol.16
, Issue.2
, pp. 827-852
-
-
Denis, L.1
Martini, C.2
-
32
-
-
84990619178
-
On the regularity of fully nonlinear parabolic equations: II
-
Wang L. On the regularity of fully nonlinear parabolic equations: II. Comm Pure Appl Math, 45: 141-178 (1992).
-
(1992)
Comm Pure Appl Math
, vol.45
, pp. 141-178
-
-
Wang, L.1
-
33
-
-
84967708673
-
User's guide to viscosity solutions of second order partial differential equations
-
Crandall M, Ishii H, Lions P L. User's guide to viscosity solutions of second order partial differential equations. Bull Amer Math Soc, 27(1): 1-67 (1992).
-
(1992)
Bull Amer Math Soc
, vol.27
, Issue.1
, pp. 1-67
-
-
Crandall, M.1
Ishii, H.2
Lions, P.L.3
-
34
-
-
0000093726
-
Backward SDE and related g-expectation
-
El Karoui Mazliak ed.Pitman Research Notes in Math. Series, Boca Raton: Chapman & Hall/CRC
-
Peng S. Backward SDE and related g-expectation. In: Backward Stochastic Differential Equations, Pitman Research Notes in Math. Series, No. 364. El Karoui Mazliak ed. Boca Raton: Chapman & Hall/CRC, 1997, 141-159.
-
(1997)
Backward Stochastic Differential Equations
, vol.364
, pp. 141-159
-
-
Peng, S.1
-
35
-
-
0036016204
-
Filtration-consistent nonlinear expectations and related g-expectations
-
Coquet F, Hu Y, Memin J, et al. Filtration-consistent nonlinear expectations and related g-expectations. Probab Theory Related Fields, 123: 1-27 (2002).
-
(2002)
Probab Theory Related Fields
, vol.123
, pp. 1-27
-
-
Coquet, F.1
Hu, Y.2
Memin, J.3
-
36
-
-
0039529012
-
Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
-
Peng S. Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type. Probab Theory Related Fields, 113(4): 473-499 (1999).
-
(1999)
Probab Theory Related Fields
, vol.113
, Issue.4
, pp. 473-499
-
-
Peng, S.1
-
37
-
-
33745655647
-
Some examples of risk measures via g-expectations
-
Rosazza Gianin E. Some examples of risk measures via g-expectations. Insurance Math Econom, 39: 19-34 (2006).
-
(2006)
Insurance Math Econom
, vol.39
, pp. 19-34
-
-
Rosazza Gianin, E.1
-
38
-
-
71249127419
-
Pricing, hedging and optimally designing derivatives via minimization of risk measures
-
Princeton: Princeton University
-
Barrieu P, El Karoui N. Pricing, hedging and optimally designing derivatives via minimization of risk measures. To appear in: Volume on Indifference Pricing. Princeton: Princeton University, 2009.
-
(2009)
Volume on Indifference Pricing
-
-
Barrieu, P.1
El Karoui, N.2
|