Zobrazeno 1 - 10
of 168
pro vyhledávání: '"Li, Shoumei"'
Autor:
Zheng, Shiqiu, Li, Shoumei
A system of dynamically consistent nonlinear evaluation (${\cal{F}}$-evaluation) provides an ideal characterization for the dynamical behaviors of risk measures and the pricing of contingent claims. The purpose of this paper is to study the represent
Externí odkaz:
http://arxiv.org/abs/1506.02577
Representation for filtration-consistent nonlinear expectations under a general domination condition
Autor:
Zheng, Shiqiu, Li, Shoumei
In this paper, we consider filtration-consistent nonlinear expectations which satisfy a general domination condition (dominated by ${\cal{E}}^{\phi}$). We show that this kind of nonlinear expectations can be represented by $g$-expectations defined by
Externí odkaz:
http://arxiv.org/abs/1502.01620
Publikováno v:
In Array July 2020 6
Autor:
Zheng, Shiqiu, Li, Shoumei
In this paper, we establish representation theorems for generators of backward stochastic differential equations (BSDEs in short), whose generators are monotonic and convex growth in $y$ and quadratic growth in $z$. We also obtain a converse comparis
Externí odkaz:
http://arxiv.org/abs/1405.7293
Autor:
Zheng, Shiqiu, Li, Shoumei
In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in $z$. As some applications, we obtain a general converse comparison theorem of su
Externí odkaz:
http://arxiv.org/abs/1405.4789
Autor:
Zheng, Shiqiu, Li, Shoumei
In this paper, we establish a local representation theorem for generators of reflected backward stochastic differential equations (RBSDE), whose generators are continuous with linear growth. It generalizes some known representation theorems for gener
Externí odkaz:
http://arxiv.org/abs/1404.0226
Publikováno v:
In Knowledge-Based Systems 15 February 2018 142:29-44
Autor:
Denœux, Thierry, Li, Shoumei
Publikováno v:
In International Journal of Approximate Reasoning January 2018 92:232-254
Autor:
Li, Shoumei, Ogura, Yukio
Publikováno v:
The Annals of Probability, 1998 Jul 01. 26(3), 1384-1402.
Externí odkaz:
https://www.jstor.org/stable/2652752
Publikováno v:
In Journal of the Franklin Institute December 2016 353(18):4924-4949