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Comptes Rendus Mathématique
Volume 348, n° 9-10
pages 571-574 (mai 2010)
Doi : 10.1016/j.crma.2010.04.008
Received : 22 January 2010 ;  accepted : 2 April 2010
On the integral representation of g -expectations
Sur le représentation intégrale pour les g -espérances
 

Mingshang Hu
School of Mathematics, Shandong University, Jinan 250100, China 

Abstract

In this Note, we give a necessary and sufficient condition on deterministic g under which g -expectations can be represented as Choquet expectations.

The full text of this article is available in PDF format.
Résumé

Dans cette Note, nous donnons une condition nécessaire et suffisante sur g déterministe sous laquelle les g -espérances peut être représentée par les espérances de Choquet.

The full text of this article is available in PDF format.


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