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

DOI10.1016/j.spl.2006.04.040zbMath1102.60056OpenAlexW1968168855MaRDI QIDQ850202

Long Jiang

Publication date: 15 November 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.04.040

zbMATH Keywords

\(g\)-expectationbackward stochastic differential equationcomonotonic additivityChoquet expectationconditional \(g\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Generalized Peng's \(g\)-expectations and related properties, A necessary and sufficient condition for probability measures dominated by \(g\)-expectation

Cites Work

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