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- W2182449369 endingPage "253" @default.
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- W2182449369 abstract "1. Introduction1.1. Searching the Mechanism of Evaluations of Risky Assets1.2. Axiomatic Assumptions for Evaluations of Derivatives1.3. Organization of the Lecture2. Brownian Filtration Consistent Evaluations and Expectations2.1. Main Notations and Definitions2.2. Open image in new window -Consistent Nonlinear Expectations2.3. Open image in new window -Consistent Nonlinear Evaluations3. Backward Stochastic Differential Equations: g-Evaluations and g-Expectations3.1. BSDE: Existence, Uniqueness and Basic Estimates3.2. 1-Dimensional BSDE3.3. A Monotonic Limit Theorem of BSDE3.4. g-Martingales and (Nonlinear) g-Supermartingale Decomposition Theorem4. Finding the Mechanism: Is an Open image in new window -Expectation a g-Expectation?4.1. Open image in new window -Dominated Open image in new window -Expectations4.2. Open image in new window -Consistent Martingales4.3. BSDE under Open image in new window -Consistent Nonlinear Expectations4.4. Decomposition Theorem for Open image in new window -Supermartingales4.5. Representation Theorem of an Open image in new window -Expectation by a g-Expectation4.6. How to Test and Find g?4.7. A General Situation: Open image in new window -Evaluation Representation Theorem5. Dynamic Risk Measures6. Numerical Solution of BSDEs: Euler’s Approximation7. Appendix7.1. Martingale Representation Theorem7.2. A Monotonic Limit Theorem of Ito’s Processes7.3. Optional Stopping Theorem for Open image in new window -SupermartingaleReferencesReferences on BSDE and Nonlinear Expectations" @default.
- W2182449369 created "2016-06-24" @default.
- W2182449369 creator A5082334771 @default.
- W2182449369 date "2004-01-01" @default.
- W2182449369 modified "2023-10-01" @default.
- W2182449369 title "Nonlinear Expectations, Nonlinear Evaluations and Risk Measures" @default.
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