An integral representation theorem of g-expectations
نویسندگان
چکیده
منابع مشابه
An integral representation theorem of g-expectations
There are two classes of nonlinear expectations, one is the Choquet expectation given by Choquet (1955), the other is the Peng’s g-expectation given by Peng (1997) via backward differential equations (BSDE). Recently, Peng raised the following question: can a g-expectation be represented by a Choquet expectation? In this paper, we provide a necessary and sufficient condition on g-expectations u...
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ژورنال
عنوان ژورنال: Risk and Decision Analysis
سال: 2011
ISSN: 1569-7371
DOI: 10.3233/rda-2011-0047