Cooperative Hedging in the Complete Market under g-expectation Constraint 被引量：1

Cooperative Hedging in the Complete Market under g-expectation Constraint

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摘要 The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by the Neyman-Pearson lemma under g-probability.

作者 Qing Zhou

机构地区 School of Science

出处《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2011年第3期373-380,共8页 应用数学学报（英文版）

基金 supported by the National Natural Science Foundation of China under Grants (No. 11001029, 10971220) the Fundamental Research Funds for the Central Universities (BUPT2009RC0705)

关键词 HEDGING Neyman Pearson lemma g-probability backward stochastic differential equation hedging, Neyman Pearson lemma, g-probability, backward stochastic differential equation

分类号 O211.67 [理学—概率论与数理统计] N02 [自然科学总论—科学技术哲学]

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2Panyu WU.Multiple G-Ito integral in G-expectation space[J].Frontiers of Mathematics in China,2013,8(2):465-476. 被引量：3
3JIANG LONG,CHEN ZENGJING School of Mathematics and System Sciences, Shandong University, Jinan 250100, China. Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, Jiangsu,China. E-mail: jianglong@math.sdu.edu.cn School of Mathematics and System Sciences, Shandong University, Jinan 250100, China..ON JENSEN'S INEQUALITY FOR g-EXPECTATION[J].Chinese Annals of Mathematics,Series B,2004,25(3):401-412. 被引量：26
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Acta Mathematicae Applicatae Sinica

2011年第3期

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Cooperative Hedging in the Complete Market under g-expectation Constraint 被引量：1

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