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The representations of two types of functionals on L^∞(Ω,F) and L^∞(Ω,F,P) 被引量：5

The representations of two types of functionals on L~∞(Ω,F) and L~∞(Ω,F,P)
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摘要 This article gives the representations of two types of real functionals on Z∞(Ω,F) or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respectively. This article gives the representations of two types of real functionals on L∞(Ω,F)or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respectively.
作者 SONG Yongsheng YAN Jia'an
机构地区 Institute of Applied Mathematics
出处 《Science China Mathematics》 SCIE 2006年第10期1376-1382,共7页 中国科学：数学（英文版）
基金 This work was supported by the National Natural Science Foundation of China (Grant No. 10571167).
关键词 Choquet integral comonotonically subadditive comonotonically convex. Choquet integral, comonotonically subadditive, comonotonically convex
分类号 N [自然科学总论]
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参考文献8

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同被引文献24

  • 1GUO TieXin,CHEN XinXiang.Random duality[J].Science China Mathematics,2009,52(10):2084-2098. 被引量：3
  • 2SONG YongSheng,YAN JiaAn.An overview of representation theorems for static risk measures[J].Science China Mathematics,2009,52(7):1412-1422. 被引量：2
  • 3GUO TieXin Key Laboratory of Information Mathematics and Behavior of Ministry of Education, Department of Mathemat-ics, Beihang University, Beijing 100083, China.The relation of Banach-Alaoglu theorem and Banach-Bourbaki-Kakutani-mulian theorem in complete random normed modules to stratification structure[J].Science China Mathematics,2008,51(9):1651-1663. 被引量：18
  • 4Ying Hu.On Jensen’s inequality for g-expectation and for nonlinear expectation[J]. Archiv der Mathematik . 2005 (6)
  • 5Fran?ois Coquet,Ying Hu,Jean Mémin,Shige Peng.Filtration-consistent nonlinear expectations and related g-expectations[J]. Probability Theory and Related Fields . 2002 (1)
  • 6Denneberg D.Non-additive Measure and Integration. . 1994
  • 7Peng S.Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. Stochastic Processes and Their Applications . 2008
  • 8Song Y,Yan J.The representations of two types of functionals on L∞(Ω, F) and L∞(Ω, F, P ). Science in China Series A Mathematics Physics Astronomy Technological Sciences . 2006
  • 9Jia G.On n-dimensional Jensen inequalities for g-expectation and nonlinear expectation, and their Applications. . 2007
  • 10Coquet F,Hu Y,Memin J,et al.Filtration consistent nonlinear expectations and related g-expectation. Probab Theory & Related Fields . 2002

引证文献5

二级引证文献26

Science China Mathematics
2006年 第10期

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