A representation for filtration-consistent nonlinear expectations and its application

In this paper, we consider filtration-consistent nonlinear expectations which satisfy a general domination condition. We show that filtration-consistent nonlinear expectations can be represented by g-expectations defined by the solutions of backward stochastic differential equations, whose generator...

Full description

Saved in:
Bibliographic Details
Published in:Communications in statistics. Simulation and computation 2022-12, Vol.51 (12), p.7133-7150
Main Authors: Zheng, Shiqiu, Li, Shoumei
Format: Article
Language:English
Subjects:
Backward stochastic differential equation
Differential equations
Doob-Meyer decomposition
Filtration
Filtration-consisitent expectation
g-expectation
Time-consistent risk measure
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper, we consider filtration-consistent nonlinear expectations which satisfy a general domination condition. We show that filtration-consistent nonlinear expectations can be represented by g-expectations defined by the solutions of backward stochastic differential equations, whose generators are independent of y and uniformly continuous in z. As an application, we establish a concentration inequality for time-consistent risk measures.
ISSN:0361-0918
1532-4141
DOI:10.1080/03610918.2020.1825737