g期望值随机排序

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-05-26 DOI:10.3934/PUQR.2021004

S. Ly, Nicolas Privault

{"title":"g期望值随机排序","authors":"S. Ly, Nicolas Privault","doi":"10.3934/PUQR.2021004","DOIUrl":null,"url":null,"abstract":"We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic differential equations and on several extensions of convexity, monotonicity and continuous dependence properties for the solutions of associated semilinear parabolic partial differential equations. Applications to contingent claim price comparison under different hedging portfolio constraints are provided.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2020-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Stochastic ordering by g-expectations\",\"authors\":\"S. Ly, Nicolas Privault\",\"doi\":\"10.3934/PUQR.2021004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic differential equations and on several extensions of convexity, monotonicity and continuous dependence properties for the solutions of associated semilinear parabolic partial differential equations. Applications to contingent claim price comparison under different hedging portfolio constraints are provided.\",\"PeriodicalId\":1,\"journal\":{\"name\":\"Accounts of Chemical Research\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":16.4000,\"publicationDate\":\"2020-05-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Accounts of Chemical Research\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.3934/PUQR.2021004\",\"RegionNum\":1,\"RegionCategory\":\"化学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"CHEMISTRY, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.3934/PUQR.2021004","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}

引用次数: 1

摘要

给出了扩散过程在非线性g期望和g值下的凸序和单调g随机序的充分条件。我们的方法依赖于正倒向随机微分方程的比较结果，以及相关半线性抛物型偏微分方程解的凸性、单调性和连续相关性质的几个扩展。给出了不同套期保值组合约束下或有债权价格比较的应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Stochastic ordering by g-expectations

We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic differential equations and on several extensions of convexity, monotonicity and continuous dependence properties for the solutions of associated semilinear parabolic partial differential equations. Applications to contingent claim price comparison under different hedging portfolio constraints are provided.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.