g期望值随机排序

IF 1 2区数学 Q3 STATISTICS & PROBABILITY

Probability Uncertainty and Quantitative Risk Pub Date : 2020-05-26 DOI:10.3934/PUQR.2021004

S. Ly, Nicolas Privault

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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。

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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.

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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.