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Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
nonlinear expectations comparison theorem nonlinear Doob-Meyer
2011/3/23
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear...
Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
nonlinear expectations comparison theorem nonlinear Doob-Meyer
2011/3/23
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear...
Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations
Transformation methods evaluating approximations optimal exercise boundary linear nonlinear Black-Scholes equations
2010/12/17
The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American style of vanilla opti...
Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
Dual method continuous-time Markowitz's Problems nonlinear wealth equations
2010/12/20
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the op...
Nonlinear Fokker-Planck Equation in the Model of Asset Returns
Nonlinear Fokker-Planck Equation Model Asset Returns
2010/12/17
The Fokker-Planck equation with diffusion coefficient quadratic in space variable, linear drift coefficient, and nonlocal nonlinearity term is considered in the framework of a model of analysis of as...
Transition Densities for Interest Rate and Other Nonlinear Diffusions
Transition Densities Interest Rate Other Nonlinear Diffusions
2014/3/13
Transition Densities for Interest Rate and Other Nonlinear Diffusions.