论文标题
随机排序通过G-期望
Stochastic ordering by g-expectations
论文作者
论文摘要
我们为在非线性G期和G-评估下的扩散过程的凸和单调G-stochastic序列提供了足够的条件。我们的方法依赖于前回向的随机微分方程的比较结果，以及相关半线性抛物线抛物线部分微分方程的溶液的凸度，单调性和连续依赖性的几种扩展。提供了在不同的对冲投资组合限制下的或有索赔价格比较的申请。
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.
