On the integral representation of g-expectations with terminal constraints
Probability
2015-02-16 v1
Abstract
In this paper, we study the integral representation of g-expectations with two kinds of terminal constraints, and obtain the corresponding necessary and sufficient conditions.
Keywords
Cite
@article{arxiv.1502.03875,
title = {On the integral representation of g-expectations with terminal constraints},
author = {Xiaojuan Li},
journal= {arXiv preprint arXiv:1502.03875},
year = {2015}
}
Comments
11 pages