Stochastic ordering by g-expectations
Probability
2022-04-13 v2
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.
Cite
@article{arxiv.2005.12580,
title = {Stochastic ordering by g-expectations},
author = {Sel Ly and Nicolas Privault},
journal= {arXiv preprint arXiv:2005.12580},
year = {2022}
}