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Filtration-consistent nonlinear expectations and related g-expectations

2002260 citationsJournal Articlebronze Open Access

Authors

François Coquet · Université Rennes 2

Ying Hu · Université de Rennes

Jean Mémin · Université Rennes 2

Shigē Péng · Shandong University

Topics & Keywords

Stochastic processes and financial applications Risk and Portfolio Optimization Economic theories and models

Publication Details

Published in: Probability Theory and Related Fields

Volume 123, Issue 1, pp. 1-27

DOI: 10.1007/s004400100172

Field-Weighted Citation Impact: 4.36

Filtration-consistent nonlinear expectations and related g-expectations | Researchclopedia