Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/145282
Full metadata record
DC FieldValueLanguage
dc.contributor.authorLy, Selen_US
dc.date.accessioned2020-12-16T08:07:26Z-
dc.date.available2020-12-16T08:07:26Z-
dc.date.issued2020-
dc.identifier.citationLy, S. (2020). Stochastic Orderings by Nonlinear Expectations. Doctoral thesis, Nanyang Technological University, Singapore.en_US
dc.identifier.urihttps://hdl.handle.net/10356/145282-
dc.description.abstractWe study the theory of stochastic order under the nonlinear expectations framework, including g- and G-expectations, which leads to more general concepts of orderings in comparison with the standard linear expectation setting. In a summary of theoretical contributions, we have derived several sufficient conditions for the g- and G-stochastic orderings of diffusion processes and of G-diffusion processes in the sense of convex, increasing convex and monotonic order types. Analogous comparison results for g- and G-risk measures have been proposed as consequences, in terms of concave g- and G-stochastic orderings. In addition, we have derived comparisons results between linear, sublinear and nonlinear expectations. Our approach relies on comparison lemmas for forward-backward, and for G-forward-backward stochastic differential equations, and on several extensions of monotonicity, convexity and continuous dependence property for the solutions of associated semilinear parabolic partial differential equations and Hamilton-Jacobi-Bellman-type equations. Applications to contingent claim price comparison under different hedging portfolio constraints, and to superhedging price comparison under ambiguous coefficients are also provided.en_US
dc.language.isoenen_US
dc.publisherNanyang Technological Universityen_US
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC BY-NC 4.0).en_US
dc.subjectScience::Mathematicsen_US
dc.titleStochastic orderings by nonlinear expectationsen_US
dc.typeThesis-Doctor of Philosophyen_US
dc.contributor.supervisorNicolas Privaulten_US
dc.contributor.schoolSchool of Physical and Mathematical Sciencesen_US
dc.description.degreeDoctor of Philosophyen_US
dc.identifier.doi10.32657/10356/145282-
dc.contributor.supervisoremailNPRIVAULT@ntu.edu.sgen_US
item.fulltextWith Fulltext-
item.grantfulltextopen-
Appears in Collections:SPMS Theses
Files in This Item:
File Description SizeFormat 
Final thesis Ly Sel signed.pdf1.61 MBAdobe PDFView/Open

Page view(s)

238
Updated on Jul 4, 2022

Download(s) 50

22
Updated on Jul 4, 2022

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.