no. 8
Probability Theory
Dynamical evaluations
[Évaluations dynamiques.]

Présenté par : Paul Malliavin

Peng, Shige1
1 Institute of Mathematics, Shandong University, Jinan 250100, China
Comptes Rendus. Mathématique, Tome 339 (2004) no. 8, pp. 585-589.

Dans cette Note nous annonçons le résultat suivant : sous une hypothèse de domination, une évaluation Ft-consistante est une Eg-évaluation.

In this Note we announce the following result: under a domination condition, an Ft-consistent evaluation is an Eg-evaluation.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2004.09.015
Peng, Shige 1

1 Institute of Mathematics, Shandong University, Jinan 250100, China 
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Peng, Shige. Dynamical evaluations. Comptes Rendus. Mathématique, Tome 339 (2004) no. 8, pp. 585-589. doi : 10.1016/j.crma.2004.09.015. http://www.numdam.org/articles/10.1016/j.crma.2004.09.015/

[1] Coquet, F.; Hu, Y.; Memin, J.; Peng, S. Filtration consistent nonlinear expectations and related g-expectations, Probab. Theory Related Fields, Volume 123 (2002), pp. 1-27

[2] Peng, S. Nonlinear expectations and nonlinear Markov chains, The Proceedings of the 3rd Colloquium on ‘Backward Stochastic Differential Equations and Applications’, Weihai, 2002

[3] Peng, S. BSDE and related g-expectation (El Karoui, N.; Mazliak, L., eds.), Backward Stochastic Differential Equation, Pitman Res. Notes Math. Ser., vol. 364, 1997, pp. 141-159

[4] Peng, S. Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyer's type, Probab. Theory Related Fields, Volume 113 (1999) no. 4, pp. 473-499

[5] S. Peng, Dynamically consistent nonlinear evaluations and expectations, preprint and Lecture notes presented in Weihai summer school, July, 2004, Weihai, China

[6] S. Peng, Nonlinear Expectations, nonlinear evaluations and risk measures, preprint and Lecture notes presented in CIME–EMS summer school, Bressanone, Italy, July 2003

[7] Peng, S. Filtration consistent nonlinear expectations and evaluations of contingent claims, Acta Math. Appl. Sinica, Volume 20 (2004) no. 2, pp. 191-214

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