Fubini theorem for non additive measures in the framework of g-expectation

DOI10.1080/03610926.2017.1285921zbMath1381.60092OpenAlexW2580597849MaRDI QIDQ4605256

Helin Wu, Feng Hu, Zhaojun Zong

Publication date: 21 February 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1285921

zbMATH Keywords

Fubini theorem\(g\)-expectationbackward stochastic differential equationnon additive measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
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• The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
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• Some Fubini theorems on product \(\sigma \)-algebras for non-additive measures
• Inequalities for upper and lower probabilities
• Minimax pricing and Choquet pricing
• Risk measures via \(g\)-expectations
• Theory of capacities
• Ambiguity, Risk, and Asset Returns in Continuous Time

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