Choquet expectations and g-expectations with multi-dimensional Brownian motion
Probability
2009-10-15 v1
Abstract
We prove that a g-expectation is a Choquet expectation if and only if g is independent of y and is linear in z, i.e., classical linear expectation, without the assumptions that the deterministic generator g is continuous in t and the dimension of the Brownian motion is one.
Cite
@article{arxiv.0910.2519,
title = {Choquet expectations and g-expectations with multi-dimensional Brownian motion},
author = {Mingshang Hu},
journal= {arXiv preprint arXiv:0910.2519},
year = {2009}
}
Comments
11 pages