The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations

DOI10.1016/j.spl.2008.09.025zbMath1165.91418OpenAlexW2022952191MaRDI QIDQ1004268

Kun He, Zeng-Jing Chen, Ming Shang Hu

Publication date: 2 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.09.025

Mathematics Subject Classification ID

Related Items (5)

Uncertainty orders on the sublinear expectation space ⋮ On the integral representation of \(g\)-expectations with terminal constraints ⋮ Dynkin game under \(g\)-expectation in continuous time ⋮ Fubini theorem for non additive measures in the framework of g-expectation ⋮ The domination of \(g\)-evaluations and Choquet evaluations

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