Choquet expectation and Peng’s 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...
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Article history: Received 1 January 2012 Received in revised form 10 July 2012 Accepted 18 February 2013 Available online 26 February 2013
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2005
ISSN: 0091-1798
DOI: 10.1214/009117904000001053