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Peng, S. (2006) G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô’s type, In: Benth, F.E., et al., Eds., Stochastic Analysis and Applications: The Abel Symposium 2005, Springer-Verlag, Berlin, 541-567.

has been cited by the following article:

• TITLE: On Historical Value at Risk under Distribution Uncertainty

  AUTHORS: Atsushi Iizuka, Yumiharu Nakano

  KEYWORDS: Value-at-Risk, Sublinear Expectation, Capacities, Glivenko-Cantelli Lemma

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.2, April 10, 2015

  ABSTRACT: We investigate the asymptotics of the historical value-at-risk under capacities defined by sublinear expectations. By generalizing Glivenko-Cantelli lemma, we show that the historical value-at-risk eventually lies between the upper and lower value-at-risks quasi surely.