Choquet expectations and g-expectations with multi-dimensional Brownian motion

2009/10/14 by Hu, Mingshang
#60H10 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.0910.2519

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.

Related

• Choquet expectation and Peng’s g-expectation
• On the Representation Theorem of G-Expectations and Paths of G--Brownian Motion
• Multi-Dimensional G-Brownian Motion and Related Stochastic Calculus under G-Expectation
• G-expectations in infinite dimensional spaces and related PDEs
• G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Ito's type