Comptes Rendus
Probability Theory
Dynamical evaluations
Comptes Rendus. Mathématique, Volume 339 (2004) no. 8, pp. 585-589.

In this Note we announce the following result: under a domination condition, an Ft-consistent evaluation is an Eg-evaluation.

Dans cette Note nous annonçons le résultat suivant : sous une hypothèse de domination, une évaluation Ft-consistante est une Eg-évaluation.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2004.09.015
Shige Peng 1

1 Institute of Mathematics, Shandong University, Jinan 250100, China
@article{CRMATH_2004__339_8_585_0,
     author = {Shige Peng},
     title = {Dynamical evaluations},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {585--589},
     publisher = {Elsevier},
     volume = {339},
     number = {8},
     year = {2004},
     doi = {10.1016/j.crma.2004.09.015},
     language = {en},
}
TY  - JOUR
AU  - Shige Peng
TI  - Dynamical evaluations
JO  - Comptes Rendus. Mathématique
PY  - 2004
SP  - 585
EP  - 589
VL  - 339
IS  - 8
PB  - Elsevier
DO  - 10.1016/j.crma.2004.09.015
LA  - en
ID  - CRMATH_2004__339_8_585_0
ER  - 
%0 Journal Article
%A Shige Peng
%T Dynamical evaluations
%J Comptes Rendus. Mathématique
%D 2004
%P 585-589
%V 339
%N 8
%I Elsevier
%R 10.1016/j.crma.2004.09.015
%G en
%F CRMATH_2004__339_8_585_0
Shige Peng. Dynamical evaluations. Comptes Rendus. Mathématique, Volume 339 (2004) no. 8, pp. 585-589. doi : 10.1016/j.crma.2004.09.015. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2004.09.015/

[1] F. Coquet; Y. Hu; J. Memin; S. Peng Filtration consistent nonlinear expectations and related g-expectations, Probab. Theory Related Fields, Volume 123 (2002), pp. 1-27

[2] S. Peng Nonlinear expectations and nonlinear Markov chains, The Proceedings of the 3rd Colloquium on ‘Backward Stochastic Differential Equations and Applications’, Weihai, 2002

[3] S. Peng BSDE and related g-expectation (N. El Karoui; L. Mazliak, eds.), Backward Stochastic Differential Equation, Pitman Res. Notes Math. Ser., vol. 364, 1997, pp. 141-159

[4] S. Peng Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyer's type, Probab. Theory Related Fields, Volume 113 (1999) no. 4, pp. 473-499

[5] S. Peng, Dynamically consistent nonlinear evaluations and expectations, preprint and Lecture notes presented in Weihai summer school, July, 2004, Weihai, China

[6] S. Peng, Nonlinear Expectations, nonlinear evaluations and risk measures, preprint and Lecture notes presented in CIME–EMS summer school, Bressanone, Italy, July 2003

[7] S. Peng Filtration consistent nonlinear expectations and evaluations of contingent claims, Acta Math. Appl. Sinica, Volume 20 (2004) no. 2, pp. 191-214

Cited by Sources:

Comments - Policy


Articles of potential interest

Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations

Shanjian Tang

C. R. Math (2006)