Nonlinear Expectations, Nonlinear Evaluations and Risk Measures

By Shige Peng. 2004

358 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a4417aaeb11d208b98eab8ffa7f442dc850e0553

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In Management Science and Operations Research

Citations in the corpus

DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007, background): “In the literature, one can find several differing definitions of time-consistency; see for instance Peng (2004), Weber (2006), or Artzner, Delbaen, Eber, Heath and Ku (2007) for an overview.”
Anticipated backward stochastic differential equations (2007, background): “For their originalities we refer to the notes of [13] or [7].”
Risk minimizing portfolios and HJBI equations for stochastic differential games (2008, background): “For more information we refer to [26] and the references therein.”
Risk measuring under model uncertainty (2010, background): “For the particular case of dynamic risk measures on a Brownian filtration one can cite [28] [3], [14].”
Optimal stopping for non-linear expectations—Part I (2011, neutral): “This definition is similar to the one proposed in [15].”
Well-posedness and regularity of backward stochastic Volterra integral equations (2008, background): “(iii) Coherent risk measurement was introduced in [1]. See also [8, 25 ,32].”
Conditional and dynamic convex risk measures (2005, methodology): “Remark 4 Rosazza Gianin [22] states some sufficient conditions for a g-expectation to be a conditional convex or coherent risk measure. See also Peng [ 20 ].”
Recent progress in random metric theory and its applications to conditional risk measures (2010, background): “Recently, motivated by the study of dynamic risk measures [58, 60] and conditional entropic risk measures, Filipović, Kupper and Vogelpoth studied the following convex conditional risk measures of LpF(E)-type and L -type in [15, 16, 56].”
Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk (2007, methodology): “The point of view of pricing via risk measures has also been considered in a dynamic way using Backward Stochastic Differential Equations as in El Karoui and Quenez [32], El Karoui and Quenez [33], El Karoui, Peng and Quenez [34], Peng [55], Klöppel and Schweizer [52] and Peng [56].”
Generalized Dynkin games and doubly reflected BSDEs with jumps (2013, neutral): “In this paper, we introduce a new game problem, which generalizes the classical Dynkin game to the case of E-expectations (or g-evaluations in the terminology of Peng [33]).”