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

DOI10.7468/JKSMEB.2015.22.4.333zbMATH Open1336.60082OpenAlexW2325705120MaRDI QIDQ5744580FDOQ5744580

Authors: 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

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zbMATH Keywords

coherent risk measures\(g\)-expectationmartingale measuresChoquet expectationsubmodular capacityset of priors

Mathematics Subject Classification ID

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

Cited In (3)

• The structure of priors' set of equivalent measures
• Conditional submodular Choquet expected values and conditional coherent risk measures
• Conditional Choquet expectation

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