Martingale representation theorem for the G-expectation
dc.contributor.author
Soner, Mete
dc.contributor.author
Touzi, Nizar
dc.contributor.author
Zhang, Jianfeng
dc.date.accessioned
2017-06-09T08:35:44Z
dc.date.available
2017-06-09T08:35:44Z
dc.date.issued
2011-02
dc.identifier.issn
0304-4149
dc.identifier.issn
1879-209X
dc.identifier.other
10.1016/j.spa.2010.10.006
dc.identifier.uri
http://hdl.handle.net/20.500.11850/27843
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
G-expectation
dc.subject
G-martingale
dc.subject
Nonlinear expectation
dc.subject
Stochastic target problem
dc.subject
Singular measure
dc.subject
BSDE
dc.subject
2BSDE
dc.subject
Duality
dc.title
Martingale representation theorem for the G-expectation
dc.type
Journal Article
ethz.journal.title
Stochastic Processes and their Applications
ethz.journal.volume
121
ethz.journal.issue
2
ethz.pages.start
265
ethz.pages.end
287
ethz.notes
Received 21 January 2010, Revised 7 September 2010, Accepted 19 October 2010, Available online 28 October 2010.
ethz.identifier.nebis
000025024
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
ethz.date.deposited
2017-06-09T08:36:12Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d804f28f66062
ethz.ecitpid
pub:46821
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-31T14:01:53Z
ethz.rosetta.lastUpdated
2024-02-01T16:38:43Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Martingale%20representation%20theorem%20for%20the%20G-expectation&rft.jtitle=Stochastic%20Processes%20and%20their%20Applications&rft.date=2011-02&rft.volume=121&rft.issue=2&rft.spage=265&rft.epage=287&rft.issn=0304-4149&1879-209X&rft.au=Soner,%20Mete&Touzi,%20Nizar&Zhang,%20Jianfeng&rft.genre=article&rft_id=info:doi/10.1016/j.spa.2010.10.006&
Files in this item
| Files | Size | Format | Open in viewer |
|---|---|---|---|
|
There are no files associated with this item. |
|||
Publication type
-
Journal Article [131587]