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Stochastic ordering by g-expectations
- Publication Year :
- 2020
-
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.
- Subjects :
- Mathematics - Probability
60E15, 35B51, 60H10, 60H30
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2005.12580
- Document Type :
- Working Paper