Hyperfinite construction of G-expectation
نویسندگان
چکیده
منابع مشابه
Choquet expectation and Peng’s g−expectation
In this paper we consider two ways to generalize the mathematical expectation of a random variable, the Choquet expectation and Peng’s g-expectation. An open question has been, after making suitable restrictions to the class of random variables acted on by the Choquet expectation, for what class of expectation do these two definitions coincide? In this paper we provide a necessary and sufficien...
متن کاملConstruction of continuous $g$-frames and continuous fusion frames
A generalization of the known results in fusion frames and $g$-frames theory to continuous fusion frames which defined by M. H. Faroughi and R. Ahmadi, is presented in this study. Continuous resolution of the identity (CRI) is introduced, a new family of CRI is constructed, and a number of reconstruction formulas are obtained. Also, new results are given on the duality of continuous fusion fram...
متن کاملJensen’s Inequality for g-Convex Function under g-Expectation
A real valued function defined on R is called g–convex if it satisfies the following “generalized Jensen’s inequality” under a given g-expectation, i.e., h(E[X ]) ≤ E[h(X)], for all random variables X such that both sides of the inequality are meaningful. In this paper we will give a necessary and sufficient conditions for a C-function being g-convex. We also studied some more general situation...
متن کاملMartingale Representation Theorem for the G-expectation
This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order stochastic target problems and the second order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a ...
متن کاملHyperfinite Lévy Processes
A hyperfinite Lévy process is an infinitesimal random walk (in the sense of nonstandard analysis) which with probability one is finite for all finite times. We develop the basic theory for hyperfinite Lévy processes and find a characterization in terms of transition probabilities. The standard part of a hyperfinite Lévy process is a (standard) Lévy process, and we show that given a generating t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastics
سال: 2018
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2018.1502771