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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2015.1
- 수록면
- 333 - 342 (10page)
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초록· 키워드
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We show that the set of priors in the representation of Choquet expec- tation is the one of equivalent martingale measures under some conditions, when given capacity is submodular. It is proven via Peng's g-expectation and related topics.
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참고문헌 (23)
참고문헌 신청
C. Dellacherie / 1970 / Quelques commentaires sur les prolongements de capacites. Seminaire de Probabilites V. Strasbourg / Lecture Notes in Math 191 : 77 ~ 81
D. Heath / 2000 / Back to the future / Plenary lecture at the First World Congress of the Bachelier Society
E. Pardoux / 1990 / Adapted solution of a backward stochastic differential equa-tion / Systems and Control Letters 14 : 55 ~ 61
E. Rosazza Gianin / 2006 / Some examples of risk measures via g-expectations / Insurance:Mathematics and Economics 39 : 19 ~ 34
F. Coquet / 2002 / Filtration consistent nonlinear expectations and related g-expectations / Probability Theory and Related Fields 123 : 1 ~ 27
D. Heath / 2000 / Back to the future / Plenary lecture at the First World Congress of the Bachelier Society
E. Pardoux / 1990 / Adapted solution of a backward stochastic differential equa-tion / Systems and Control Letters 14 : 55 ~ 61
E. Rosazza Gianin / 2006 / Some examples of risk measures via g-expectations / Insurance:Mathematics and Economics 39 : 19 ~ 34
F. Coquet / 2002 / Filtration consistent nonlinear expectations and related g-expectations / Probability Theory and Related Fields 123 : 1 ~ 27
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