On the integral representation of <i>g</i>-expectations

Mingshang Hu

doi:10.1016/j.crma.2010.04.008

Probability Theory

On the integral representation of g-expectations
[Sur le représentation intégrale pour les g-espérances]

Présenté par : Marc Yor

Mingshang Hu ¹

¹ School of Mathematics, Shandong University, Jinan 250100, China

Comptes Rendus. Mathématique, Volume 348 (2010) no. 9-10, pp. 571-574.

Résumé
Abstract

Dans cette Note, nous donnons une condition nécessaire et suffisante sur g déterministe sous laquelle les g-espérances peut être représentée par les espérances de Choquet.

In this Note, we give a necessary and sufficient condition on deterministic g under which g-expectations can be represented as Choquet expectations.

Reçu le : 2010-01-22
Accepté le : 2010-04-02
Publié le : 2010-04-24

DOI : 10.1016/j.crma.2010.04.008

Affiliations des auteurs :

Mingshang Hu ¹

¹ School of Mathematics, Shandong University, Jinan 250100, China

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     title = {On the integral representation of \protect\emph{g}-expectations},
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     doi = {10.1016/j.crma.2010.04.008},
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Mingshang Hu. On the integral representation of g-expectations. Comptes Rendus. Mathématique, Volume 348 (2010) no. 9-10, pp. 571-574. doi : 10.1016/j.crma.2010.04.008. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2010.04.008/

Bibliographie
Cité par

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