Keywords: 60G40; 60H10; BSDE; g-expectation; Optimal stopping; Free boundary problem; Ambiguity;
مقالات ISI (ترجمه نشده)
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Keywords: Linear-quadratic problem; Stochastic differential game; Forward-backward stochastic differential equation; Partial information; g-expectation; 91A23; 60H10; 93E11; 91G80;
Keywords: Least squares estimator; Conditional expectation; Sublinear expectation; Coherent risk measure; g-Expectation;
Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion
Keywords: 93E20; 60H10; 35K15; G-expectation; Backward stochastic differential equations; Stochastic recursive optimal control; Robust control; Dynamic programming principle;
Quasi-continuous random variables and processes under the G-expectation framework
Keywords: 60H10; 60H30; G-expectation; G-Brownian motion; Quasi-continuous; Krylov's estimates;
Minimal supersolutions of BSDEs under volatility uncertainty
Keywords: Minimal supersolutions of second order Backward Stochastic Differential Equations; Model uncertainty; G-Expectation;
Backward stochastic differential equations driven by G-Brownian motion
Keywords: 60H10; 60H30; G-expectation; G-Brownian motion; G-martingale; Backward SDEs;
Local time and Tanaka formula for the G-Brownian motion
Keywords: G-expectation; G-Brownian motion; Local time; Tanaka formula; Quadratic variation;
Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach
Keywords: IM 10; IM 30; IE12; D81; G11; G22; G32; 91B16; 91B70; 91B30; 60Fxx; Dynamic convex risk measures; Time-consistency; g-expectation; Discretization; Convergence; Special drivers;
Backward stochastic differential equations with a uniformly continuous generator and related gg-expectation
Keywords: Backward stochastic differential equation; g-expectation; Strict monotonicity; Uniform continuity; Uniqueness
Martingale characterization of G-Brownian motion
Keywords: 60H10; 60H05G-Brownian motion; G-expectation; Martingale characterization; Markov chain; Integral representation
Risk measures via g-expectations
Keywords: IM10; IM30; IE12; G11; G12; G13; 60G42; 60G44; 60H10; Coherent/convex risk measure; Dynamic risk measure; g-expectation; Insurance premium;