Concepedia

Nonlinear Expectations

Nonlinear Expectations is a mathematical framework within the theory of stochastic processes that generalizes classical linear expectations by allowing the expectation operator to satisfy sublinearity or convexity properties, thereby enabling the modeling of uncertainty and risk aversion in the analysis of stopping times.

63

Publications

3.2K

Citations

81

Authors

67

Institutions

Publications per year

2017–2026

9

Parents

Publications

63

Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models

Ray C. Fair, John B. Taylor · Econometrica · 1983 · 430 citations

, , +17

Filtration-consistent nonlinear expectations and related g-expectations

François Coquet, Ying Hu, Jean Mémin et al. · Probability Theory and Related Fields · 2002 · 265 citations · Full text

, , +8

NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS

Shigē Péng · Chinese Annals of Mathematics Series B · 2005 · 173 citations

, , +7

Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims

Shigē Péng · Acta Mathematicae Applicatae Sinica English Series · 2004 · 143 citations

, , +6

Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications

Shigē Péng · Proceedings of the International Congress of Mathematicians 2010 (ICM 2010) · 2011 · 139 citations

, , +13

1–5 of 63

Authors

81

  1. SP
    Shigē Péng

    Shandong University, China

    10 publications · 996 citations

    10

    h-index

  2. RJ
    Robert J. Elliott

    University of Calgary, Canada

    4 publications · 103 citations

    4

    h-index

  3. SN
    Samuel N. Cohen

    University of Oxford, United Kingdom

    4 publications · 113 citations

    4

    h-index

  4. CZ
    Chao Zhou

    National University of Singapore, Singapore

    3 publications · 86 citations

    3

    h-index

  5. NT
    Nizar Touzi

    École Polytechnique, France

    3 publications · 118 citations

    3

    h-index

1–5 of 81

Institutions

67

  1. Shandong University

    Jinan, China

    10 h-index

    13 publications

    923 citations

  2. University of Southern California

    Los Angeles, United States

    5 h-index

    7 publications

    273 citations

  3. École Polytechnique

    Palaiseau, France

    4 h-index

    4 publications

    139 citations

  4. Centre de Recherche en Mathématiques de la Décision

    Paris, France

    4 h-index

    6 publications

    180 citations

  5. National University of Singapore

    Singapore, Singapore

    4 h-index

    4 publications

    96 citations

  6. University of Oxford

    Oxford, United Kingdom

    3 h-index

    4 publications

    57 citations

  7. National Bureau of Economic Research

    Cambridge, United States

    3 h-index

    3 publications

    607 citations

  8. University of Calgary

    Calgary, Canada

    3 h-index

    4 publications

    89 citations

1–8 of 67

Venues

  1. arXiv (Cornell University)

    Repository · 4 publications · 190 citations

    4

    h-index

  2. The Annals of Applied Probability

    4 publications · 206 citations

    4

    h-index

  3. Stochastic Processes and their Applications

    4 publications · 154 citations

    4

    h-index

  4. Stochastic Analysis and Applications

    3 publications · 84 citations

    3

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 3 publications · 284 citations

    3

    h-index

1–5