G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty

Shigē Péng

Type: Preprint

Publication Date: 2007-01-01

Citations: 161

DOI: https://doi.org/10.48550/arxiv.0711.2834

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arXiv (Cornell University) - View
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+	Non-additive measure and integral	1994	Dieter Denneberg
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+	A general converse comparison theorem for backward stochastic differential equations	2001	François Coquet Ying Hu Jean Mémin Shigē Péng
+	A property of backward stochastic differential equations	1998	Zengjing Chen
+	User’s guide to viscosity solutions of second order partial differential equations	1992	Michael G. Crandall Hitoshi Ishii Pierre-Louis Lions
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