Dynamically Consistent Nonlinear Evaluations and Expectations

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dc.creatorPeng, Shi-Ge
dc.date2005-01-24
dc.date.accessioned2026-07-07T05:16:20Z
dc.date.available2026-07-07T05:16:20Z
dc.descriptionHow an economic agent (a firm, an investor or a financial market) evaluates a contingent claim, say a European type of derivatives X, with maturity t? In this paper we study a mechanism of dynamic expectations and evaluations. We give the axiomatic conditions of the time consistency. We prove that, under a domination condition, a time consistent nonlinear evaluation is in fact a g-expectation, i.e., it is completely determined a BSDE in which the generator is a given function g.
dc.description46 pages
dc.identifierhttps://arxiv.org/abs/math/0501415
dc.identifierhttp://arxiv.org/abs/math/0501415
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/73952
dc.subjectProbability
dc.subjectFunctional Analysis
dc.subject60H10
dc.titleDynamically Consistent Nonlinear Evaluations and Expectations
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