Filtration consistent nonlinear expectations and evaluations of contingent claims

Acta Mathematicae Applicatae Sinica

Volumn 20, Issue 2, 2004, Pages 191-214

  Peng, Shige ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Backward stochastic differential equation; Dynamic programming principle; Measure of risk; Nonlinear Markov property; Nonlinear potential theory; Option pricing

Indexed keywords

EID: 7244231371     PISSN: 01689673     EISSN: 16183932     Source Type: Journal    
DOI: 10.1007/s10255-004-0161-3     Document Type: Article

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