Cooperative Hedging in the Complete Market under g-expectation Constraint  

作　　者：Qing Zhou 

机构地区：[1]School of Science, Beijing University of Posts and Telecommunications, Beijing 100876, China

出　　处：《Acta Mathematicae Applicatae Sinica》2011年第3期373-380,共8页应用数学学报（英文版）

基　　金：supported by the National Natural Science Foundation of China under Grants (No. 11001029, 10971220);the Fundamental Research Funds for the Central Universities (BUPT2009RC0705)

摘　　要：The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by the Neyman-Pearson lemma under g-probability.

关 键 词：HEDGING Neyman Pearson lemma g-probability backward stochastic differential equation 

分 类 号：O211.67[理学—概率论与数理统计] N02[理学—数学]