Additivity of the g-expectation for affine-related random variables

zbMATH Open1141.60345MaRDI QIDQ5453071FDOQ5453071

Authors: Dong Qin 

Publication date: 4 April 2008

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zbMATH Keywords

additivity\(g\)-expectationaffine-related

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (1)

• A note on \(g\)-expectation with comonotonic additivity

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