DocumentCode
477597
Title
A General Kind of g-Expectation and Their Properties
Author
He Kun
Author_Institution
Sch. of Math., Shandong Univ., Jinan
Volume
1
fYear
2008
fDate
20-22 Oct. 2008
Firstpage
1191
Lastpage
1193
Abstract
This paper generalizes the definition of classical g-expectations which is used as a nonlinear measurement in the risk management and mathematical finance. It considers properties of g-expectations, such as translation invariant property and converse comparison theorem.
Keywords
finance; risk management; converse comparison theorem; g-expectation; mathematical finance; nonlinear measurement; risk management; translation invariant property; Automation; Educational institutions; Finance; Helium; Hydrogen; Insurance; Mathematics; Pricing; Risk management; Stochastic processes; BSDEs; converse comparison theorem; g-expectations;
fLanguage
English
Publisher
ieee
Conference_Titel
Intelligent Computation Technology and Automation (ICICTA), 2008 International Conference on
Conference_Location
Hunan
Print_ISBN
978-0-7695-3357-5
Type
conf
DOI
10.1109/ICICTA.2008.9
Filename
4659681
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