A property of g-probabilities

DOI10.1007/S10255-010-0021-2MaRDI QIDQ601941zbMATH OpenOpenAlexFDO

Authors Dongmei Guo, Zengjing 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)

Recommendations

• scientific article; zbMATH DE number 5863579
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Cites work

• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• A Simple Axiomatization of Nonadditive Expected Utility
• A comonotonic theorem for BSDEs
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Bayes' theorem for Choquet capacities
• Choquet expectation and Peng's \(g\)-expectation
• Minimax tests and the Neyman-Pearson lemma for capacities
• Nonmonotonic Choquet integrals
• Subjective Probability and Expected Utility without Additivity
• Theory of capacities

Cited in

(2)

• Inequalities for upper and lower probabilities
• A property of \(g\)-expectation

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