An integral representation theorem of g-expectations

DOI10.3233/RDA-2011-0047zbMath1409.91231OpenAlexW1481712657MaRDI QIDQ3119592

Agnès Sulem, Zeng-Jing Chen

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2011-0047

zbMATH Keywords

\(g\)-expectationChoquet expectationintegral representation theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Foundations of probability theory (60A99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

On the integral representation of \(g\)-expectations with terminal constraints ⋮ The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations

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