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dc.contributor.authorKazi-Tani, Mohamed Nabil*
dc.contributor.authorPossamaï, Dylan*
dc.contributor.authorZhou, Chao*
dc.date.accessioned2014-03-20T10:29:49Z
dc.date.available2014-03-20T10:29:49Z
dc.date.issued2016
dc.identifier.issn0219-4937
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12927
dc.language.isoenen
dc.subjectdynamic risk measures
dc.subjectinf-convolution
dc.subjectBSDEs
dc.subjecton-linear Doob-Meyer decomposition
dc.subjectjumps
dc.subjectquadratic growth
dc.subject.ddc519en
dc.titleQuadratic BSDEs with jumps: related non-linear expectations
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDepartment of Mathematics, National University of Singapore,;Singapour
dc.contributor.editoruniversityotherCMAP, Ecole Polytechnique,;France
dc.description.abstractenIn this article, we follow the study of quadratic backward SDEs with jumps,that is to say for which the generator has quadratic growth in the variables (z,u), started in our accompanying paper [15]. Relying on the existence and un iqueness result of [15], we define the corresponding g-expectations and study some of their properties. We obtain in particular a non-linear Doob-Meyer decomposition for g-submartingales and a downcrossinginequality which implies their regularity in time. As a consequence of these results, we also obtain a converse comparison theorem for our class of BSDEs. Finally, we provide a dual representation for the corresponding dynamic risk measures, and study the properties of their inf-convolution, giving several explicit examples.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameStochastics and Dynamics
dc.relation.isversionofjnlvol16
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpagesn°1650012
dc.relation.isversionofdoi10.1142/S021949371650012X
dc.identifier.urlsitehttps://arxiv.org/abs/1403.2730v1
dc.relation.isversionofjnlpublisherWorld Scientific
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-09-21T13:54:05Z
hal.person.labIds89626*
hal.person.labIds60*
hal.person.labIds*


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