LAW OF LARGE NUMBERS UNDER THE NONLINEAR EXPECTATION

被引：3
|
作者：
Yang, B. [1 ]
Xiao, H. [1 ]
机构：
[1] Shandong Univ, Sch Math & Stat, Weihai 264209, Peoples R China
来源：
PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY | 2011年 / 139卷 / 10期
关键词：
Law of large numbers; nonlinear expectation; backward stochastic differential equation; reflected backward stochastic differential equation; STOCHASTIC DIFFERENTIAL-EQUATIONS; JENSENS INEQUALITY;
D O I：
10.1090/S0002-9939-2011-10814-1
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we propose a class of nonlinear expectations induced by backward stochastic differential equations and reflected backward stochastic differential equations and prove the law of large numbers under the nonlinear expectation.
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页码：3753 / 3762
页数：10
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