THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR

DOI10.7468/jksmeb.2015.22.4.333zbMath1336.60082OpenAlexW2325705120MaRDI QIDQ5744580

Ju Hong Kim

Publication date: 18 February 2016

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2015.22.4.333

zbMATH Keywords

\(g\)-expectationcoherent risk measuresmartingale measuresChoquet expectationsubmodular capacityset of priors

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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