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Law of large numbers under the nonlinear expectation.

Authors :
B. Yang
H. Xiao
Source :
Proceedings of the American Mathematical Society. Oct2011, Vol. 139 Issue 10, p3753-3762. 10p.
Publication Year :
2011

Abstract

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. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
00029939
Volume :
139
Issue :
10
Database :
Academic Search Index
Journal :
Proceedings of the American Mathematical Society
Publication Type :
Academic Journal
Accession number :
61991723
Full Text :
https://doi.org/10.1090/S0002-9939-2011-10814-1