Some properties of nonlinear expectations

DOI10.13471/J.CNKI.ACTA.SNUS.2019.06.25.2019A050MaRDI QIDQ5142828zbMATH OpenOpenAlexFDO

Authors Anqi Huang, Jinming Zhou, Rong-Lin Ji

Publication date 14 January 2021

Full work available at URL http://xuebao.sysu.edu.cn/Jweb_zrb/EN/10.13471/j.cnki.acta.snus.2019.06.25.2019A050

zbMATH Keywords

coherent risk measureconvex expectationconvex risk measurenonlinear expectationsublinear expectation

Mathematics Subject Classification ID

Axioms; other general questions in probability (60A05) Foundations and philosophical topics in statistics (62A01)

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Cited in

(7)

• The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
• Nonlinear expectations of random sets
• Nonlinear expectations and nonlinear Markov chains
• Nonlinear expectations and limit theorems
• Properties of sublinear g-expectations and their applications
• Relation between constancy of g-expectations and g(y,0,t)=0
• Properties of maximal mathematical expectation

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