Stochastic orderings by nonlinear expectations

• Main Author: Ly, Sel
• Other Authors: Nicolas Privault
• Format: Thesis-Doctor of Philosophy
• Language: English
• Published: Nanyang Technological University 2020
• Subjects: Science::Mathematics
• Online Access: https://hdl.handle.net/10356/145282
• Institution: Nanyang Technological University

We 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 suffi...