A property of \(g\)-probabilities

DOI10.1007/s10255-010-0021-2zbMath1200.28014OpenAlexW2021411858MaRDI QIDQ601941

Dongmei Guo, Zeng-Jing Chen

Publication date: 29 October 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-010-0021-2

zbMATH Keywords

BSDEs\(g\)-expectations\(g\)-probabilities2-alternating capacitiessub 2-alternating capacities

Mathematics Subject Classification ID

Set functions and measures on topological spaces (regularity of measures, etc.) (28C15)

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Choquet expectation and Peng's \(g\)-expectation
• Bayes' theorem for Choquet capacities
• A comonotonic theorem for BSDEs
• Minimax tests and the Neyman-Pearson lemma for capacities
• Theory of capacities
• Subjective Probability and Expected Utility without Additivity
• A Simple Axiomatization of Nonadditive Expected Utility
• Backward Stochastic Differential Equations in Finance
• Nonmonotonic Choquet integrals

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