位置：成果数据库 > 期刊 > 期刊详情页
Risk Measures and Nonlinear Expectations
  • ISSN号：2162-2434
  • 期刊名称：Journal of Mathematical Finance
  • 时间：2013.8.1
  • 页码：383-391
  • 相关项目：金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算
作者： Zengjing Chen|Kun He|Reg Kulperger|
同期刊论文项目
金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算
期刊论文 260 会议论文 4 获奖 5
同项目期刊论文
Ambiguous volatility, possibility and utility in continuous time
Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian m
New kinds of high-order multi-step schemes for coupled forward backward stochastic differential equa
Local linear-additive estimation for multiple nonparametric regressions
Variable selection in robust semiparametric modeling for longitudinal data
An Explicit Second-Order Numerical Scheme for solving Decoupled Forward Backward Stochastic Equation
Probabilistichigh order numerical schemes for fully nonlinear parabolic pdes
Fast High-order Compact Exponential Time Differencing Runge-Kutta Methods for Second-order Semilinea
Multi-player stopping games with redistribution of payoffs and multi-dimensional BSDEs with oblique
A stochastic approach to a new type of parabolic variational inequalities, Stochastics
An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game
Maximum principle for nonzero-sum stochastic differential game with delays
Fair bilateral prices in Bergman's model
An Effective Gradient Projection Method for Stochastic Optimal Control
Relationship between Maximum Principle and Dynamic Programming in Stochastic Differential Games and
Optimal Control of BSDEs with Time Delayed Generators Driven by Brownian Motions and Poisson Random
A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations wit
Optimal Control for Stochastic Differential Delayed Equations with Poisson Jumps and Applications
Relationship between Maximum Principle and Dynamic Programming for Stochastic Differential Games of
A complete representation theorem for G-martingales
Convertible Bonds with Higher Loan Rate: Model, Valuation, and Optimal Strategy
Maximum Principle for Anticipated Recursive Stochastic Optimal Control Problem with Delay and Levy P
A General Maximum Principle for Optimal Control of Forward-Backward Stochastic Systems
Backward Stochastic Differential Equations with Markov Chains and Related Asymptotic Properties
Error Estimates of the Crank-Nicolson Scheme for Solving Backward Stochastic Differential Equations
A component-based Eulerian–Lagrangian formulation for multicomponent multiphase compositional flow a
A first order semi-discrete algorithm for backward doubly stochastic differential equations
Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
Continuous-time mean-variance portfolio selection with random horizon
Partially Observed Optimal Controls of Forward-Backward Doubly Stochastic Systems
Optimal control problems of fully coupled FBSDEs and viscosity solutions of HJB equations
Terminal-dependent statistical inferences for FBSDE
Local rank estimation and related test for varying-coefficient partially linear models
Nonparametric feature screening
Empirical likelihood inference for stimating equation with missing data
Weighted local linear composite quantile estimation for the case of general error distributions
Variable selection and parameter estimation for partially linear models via Dantzig selctor
Ambiguous Volatility and Asset Pricing in Continuous Time
A maximum principle for fully coupled forward–backward stochastic control system with terminal state
Path-dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differe
A note on functional derivatives on continuous paths
Invariant representation for stochastic differential operator by BSDEs with uniformly continuous coe
Marc Quincampoix, Value Function of Differential Games without Isaacs Conditions. An Approach with N
A law of the iterated logarithm under sublinear expectations
A weighted central limit theorem under sublinear expectations
Weak and Strong Limit Theorems for Stochastic Processes under Nonadditive Probability
How big are the increments of G-Brownian motion?
trong law of large numbers for upper set-valued and fuzzy-set valued probability
随机极限正态分布与审慎风险监测
A new comparison theorem of multidimensional BSDEs
A strong law of large numbers for non-additive probabilities
Harnack inequality for mean-field stochastic differential equations
Analysis of Similarity/Dissimilarity of DNA Sequences Basied on Chaos Game Representation
DV-Curve Representation of Protein Sequences and Its Application
An Efficient Estimation of the Mean Residual Life Function with Length-Biased Right-Censored Data
Identification of Protein Coding Regions in the Eukaryotic DNA Sequences Based on Marple Algorithm a
Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations. Mathematical Co
Independence under the G-expectation framework
Representation theorem for generators of BSDEs driven by G-Brownian motion and its applications
Sobolev Weak Solutions of the Hamilton-Jacobi- Bellman Equations
Partially Observed Time-Inconsistency Recursive Optimization Problem and Application
On the Wellposedness of Forward-backward SDEs---A Unified Approach
Optimal switching under a regime-switching model with two-time-scale Markov chains
Stochastic transforms for jump diffusion processes combined with related backward stochastic differe
Maximum Principle for Optimal Control Problems of Forward-Backward Regime-Switching Systems Involvin
The dual and degrees of freedom of linearly constrained generalized lasso
Equivalent cost functionals and stochastic linear quadratic optimal control problems
Pricing and Hedging Problem of Foreign Currency Option with Higher Borrowing Rate
A Classical Stochastic Verification Theorem for Stochastic Recursive Optimization Problems
Parallel Algorithm for BSDEs based High Dimensional American Option Pricing on the GPU
量化分析宏观金融风险的非线性演变速度与机制
Convergence analysis of a class of multistep schemes for forward-backward stochastic differentialequ
Multiple G-Ito integral in G-expectation space
A Non-Zero Sum Differential Game of BSDE with Time-Delayed Generator and Applications
A Non-Zero Sum Differential Game of BSDE with Time-Delayed Generator
相关随机干扰下不连续股价的最优消费投资决策
Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by G-Brownian m
Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic
Model selection consistency of Dantzig selector
Invariant and ergodic nonlinear expectations for G-diffusion processes
Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
Probabilistic Interpretation for A System of Quasi-linear Parabolic Partial Differential Equation Co
BSDEs with Regime Switching: Weak Convergence and Applications, Journal of Mathematical Analysis and
Euler-type schemes for weakly coupled FBSDEs and the optimal convergence analysis
A sparse-grid method for multi-dimensional backward stochastic differential equations
New kinds of high-order multistep schemes for coupled forward backward stochastic differential equat
Recent progress in compressible turbulence
一般鞅驱动的倒向随机 Volterra 积分方程
Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance
Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lvy processes