논문KCI 등재
THE STRUCTURE OF PRIORS' SET OF EQUIVALENT MEASURES
한국수학교육학회|2016.11|이론수학과 교직수학 (Theoretical Mathematics and Pedagogical Mathematics)|제23권 제4호|pp. 339-345
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초록
The set of priors in the representation of Choquet expectation is expressed as the one of equivalent martingale measures under some conditions. We show that the set of prior, Qc in (1.1) is the same set of Qθ in (1.3).
Abstract
The set of priors in the representation of Choquet expectation is expressed as the one of equivalent martingale measures under some conditions. We show that the set of prior, Qc in (1.1) is the same set of Qθ in (1.3).
참고문헌 (7)
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- N. El Karoui, "Backward stochastic di®erential equations in nance", Math. Finance, 7, pp.1~71 (1997)
- 김주홍, "THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR", 순수 및 응용수학, 22(4), pp.333~342 (2015), 한국수학교육학회
- S. Peng, "Backward SDE and related g-expectation, backward stochastic DEs", Pitman, 364, pp.141~159 (1997)
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