Title :
A General Kind of g-Expectation and Their Properties
Author_Institution :
Sch. of Math., Shandong Univ., Jinan
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;
Conference_Titel :
Intelligent Computation Technology and Automation (ICICTA), 2008 International Conference on
Conference_Location :
Hunan
Print_ISBN :
978-0-7695-3357-5
DOI :
10.1109/ICICTA.2008.9
