Dynamical evaluations

Shige Peng

doi:10.1016/j.crma.2004.09.015

Probability Theory

Dynamical evaluations

Presented by: Paul Malliavin

Shige Peng ¹

¹ Institute of Mathematics, Shandong University, Jinan 250100, China

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

Abstract (Original language)
Résumé

In this Note we announce the following result: under a domination condition, an $F_{t}$ -consistent evaluation is an $E^{g}$ -evaluation.

Dans cette Note nous annonçons le résultat suivant : sous une hypothèse de domination, une évaluation $F_{t}$ -consistante est une $E^{g}$ -évaluation.

Received: 2004-01-14
Accepted: 2004-09-13
Published online: 2004-10-15

DOI: 10.1016/j.crma.2004.09.015

Author's affiliations:

Shige Peng ¹

¹ Institute of Mathematics, Shandong University, Jinan 250100, China

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Shige Peng. Dynamical evaluations. Comptes Rendus. Mathématique, Volume 339 (2004) no. 8, pp. 585-589. doi: 10.1016/j.crma.2004.09.015

References
Cited by

[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

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