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

김주홍
한국수학교육학회|2015.11|이론수학과 교직수학 (Theoretical Mathematics and Pedagogical Mathematics)|제22권 제4호|pp. 333-342

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참고문헌

키워드

set of priorsChoquet expectationg-expectationcoherent risk measures.
주제분류수학

초록

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.

Abstract

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.

참고문헌 (23)

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관련 논문AI추천

THE STRUCTURE OF PRIORS' SET OF EQUIVALENT MEASURESJU HONG KIM한국수학교육학회 · 이론수학과 교직수학2016 · 제23권 제4호DYNAMIC RISK MEASURES AND G-EXPECTATION김주홍한국수학교육학회 · 이론수학과 교직수학2013 · 제20권 제4호THE PRIOR SET TAKING A MAXIMAL SCENARIO IN THE REPRESENTATION OF COHERENT RISK MEASURE김주홍한국수학교육학회 · 이론수학과 교직수학2018 · 제25권 제1호THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE김주홍한국수학교육학회 · 이론수학과 교직수학2016 · 제23권 제4호Note on Strong Law of Large Number under Sub-linear Expectation황교신영남수학회 · East Asian Mathematical Journal2020 · 제36권 제1호A NOTE ON STRONG CONVERGENCE OF SUMS OF INDEPENDENT RANDOM VARIABLES UNDER SUB-LINEAR EXPECTATION황교신장전수학회 · Advanced Studies in Contemporary Mathematics2020 · 제30권 제3호

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