{"id":"https://openalex.org/W3089604445","doi":"https://doi.org/10.1080/03610918.2020.1825737","title":"A representation for filtration-consistent nonlinear expectations and its application","display_name":"A representation for filtration-consistent nonlinear expectations and its application","publication_year":2020,"publication_date":"2020-10-04","ids":{"openalex":"https://openalex.org/W3089604445","doi":"https://doi.org/10.1080/03610918.2020.1825737","mag":"3089604445"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2020.1825737","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2020.1825737","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101018914","display_name":"Shiqiu Zheng","orcid":null},"institutions":[{"id":"https://openalex.org/I132369690","display_name":"Tianjin University of Science and Technology","ror":"https://ror.org/018rbtf37","country_code":"CN","type":"education","lineage":["https://openalex.org/I132369690"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Shiqiu Zheng","raw_affiliation_strings":["College of Sciences, Tianjin University of Science and Technology, Tianjin, China"],"affiliations":[{"raw_affiliation_string":"College of Sciences, Tianjin University of Science and Technology, Tianjin, China","institution_ids":["https://openalex.org/I132369690"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060571396","display_name":"Shoumei Li","orcid":null},"institutions":[{"id":"https://openalex.org/I37796252","display_name":"Beijing University of Technology","ror":"https://ror.org/037b1pp87","country_code":"CN","type":"education","lineage":["https://openalex.org/I37796252"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Shoumei Li","raw_affiliation_strings":["College of Applied Sciences, Beijing University of Technology, Beijing, China"],"affiliations":[{"raw_affiliation_string":"College of Applied Sciences, Beijing University of Technology, Beijing, China","institution_ids":["https://openalex.org/I37796252"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5101018914"],"corresponding_institution_ids":["https://openalex.org/I132369690"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.18372943,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"51","issue":"12","first_page":"7133","last_page":"7150"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9836999773979187,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9821000099182129,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/filtration","display_name":"Filtration (mathematics)","score":0.8252930641174316},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.793684184551239},{"id":"https://openalex.org/keywords/representation","display_name":"Representation (politics)","score":0.6388185620307922},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6297014355659485},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.6296135783195496},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5117030143737793},{"id":"https://openalex.org/keywords/differential","display_name":"Differential (mechanical device)","score":0.4728803038597107},{"id":"https://openalex.org/keywords/inequality","display_name":"Inequality","score":0.4546346068382263},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.37793588638305664},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.37515032291412354},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.26584044098854065},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.20104238390922546},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.09409672021865845},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.06921404600143433}],"concepts":[{"id":"https://openalex.org/C128489963","wikidata":"https://www.wikidata.org/wiki/Q1187724","display_name":"Filtration (mathematics)","level":2,"score":0.8252930641174316},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.793684184551239},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.6388185620307922},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6297014355659485},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.6296135783195496},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5117030143737793},{"id":"https://openalex.org/C93226319","wikidata":"https://www.wikidata.org/wiki/Q193137","display_name":"Differential (mechanical device)","level":2,"score":0.4728803038597107},{"id":"https://openalex.org/C45555294","wikidata":"https://www.wikidata.org/wiki/Q28113351","display_name":"Inequality","level":2,"score":0.4546346068382263},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37793588638305664},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.37515032291412354},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.26584044098854065},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.20104238390922546},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.09409672021865845},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.06921404600143433},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610918.2020.1825737","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2020.1825737","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4699999988079071,"display_name":"Reduced inequalities","id":"https://metadata.un.org/sdg/10"}],"awards":[{"id":"https://openalex.org/G5472112959","display_name":null,"funder_award_id":"11571024","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W1511896630","https://openalex.org/W1590136961","https://openalex.org/W1970545050","https://openalex.org/W1971709781","https://openalex.org/W2052855777","https://openalex.org/W2060171102","https://openalex.org/W2064724620","https://openalex.org/W2070504031","https://openalex.org/W2078206086","https://openalex.org/W2120630305","https://openalex.org/W2128802446","https://openalex.org/W2137258352","https://openalex.org/W2138765659","https://openalex.org/W2156955135","https://openalex.org/W2182449369","https://openalex.org/W2803177789","https://openalex.org/W2963343560","https://openalex.org/W3103651809","https://openalex.org/W3106101822"],"related_works":["https://openalex.org/W2353001902","https://openalex.org/W2362670188","https://openalex.org/W2047131671","https://openalex.org/W3007838749","https://openalex.org/W2335227090","https://openalex.org/W2070983839","https://openalex.org/W2376047418","https://openalex.org/W1973667499","https://openalex.org/W2368979930","https://openalex.org/W1998379854"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3,48],"consider":[4],"filtration-consistent":[5,17],"nonlinear":[6,18],"expectations":[7,19],"which":[8],"satisfy":[9],"a":[10,50],"general":[11],"domination":[12],"condition.":[13],"We":[14],"show":[15],"that":[16],"can":[20],"be":[21],"represented":[22],"by":[23,26],"g-expectations":[24],"defined":[25],"the":[27],"solutions":[28],"of":[29,38],"backward":[30],"stochastic":[31],"differential":[32],"equations,":[33],"whose":[34],"generators":[35],"are":[36],"independent":[37],"y":[39],"and":[40],"uniformly":[41],"continuous":[42],"in":[43],"z.":[44],"As":[45],"an":[46],"application,":[47],"establish":[49],"concentration":[51],"inequality":[52],"for":[53],"time-consistent":[54],"risk":[55],"measures.":[56]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
