Stochastic ordering by g-expectations

preprint2022arXivOpen access

Abstract

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.

Explore this paper’s authors, topics and related work.

Building this map preview

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Reviews 0

Write a reviewWrite

No reviews yet.

Discussion 0

Add a commentWrite

No comments yet.