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次线性期望下的大数定律及应用

The law of large numbers under subliear expectations and its applications
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摘要 得到了一致可积条件下次线性期望的大数定律,并考虑了此结果在金融中的应用。特别地,考虑了在g-期望中的应用并得到一些极限性质。 Under the uniformly integrable condition, the law of large numbers under sublinear expectations was obtained, and this result was applied to finance. Specially, this result was applied to g-expectations and some limit properties are obtained.
作者 刘智
机构地区 山东大学数学学院
出处 《山东大学学报（理学版）》 CAS CSCD 北大核心 2012年第7期76-80,共5页 Journal of Shandong University(Natural Science)
关键词 大数定律 次线性期望 G-期望 law of large numbers subliear expectations g-expectations
分类号 O211 [理学—概率论与数理统计]
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参考文献8

  • 1PENG Shige. Filtration consisitent nonliear expectations and evaluations of contingent claims [ J ] Acta Mathematicae Applica- tae Sinica: English Series, 2004, 20 ( 2 ) : 1-24.
  • 2PENG Shige.NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS[J].Chinese Annals of Mathematics,Series B,2005,26(2):159-184. 被引量：29
  • 3PENG Shige. Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation [ J ] Stochastic Processes and Their Applications, 2008, 118 ( 12 ) :2223-2253.
  • 4PENG Shige. Law of large numbers and central limit theorem under nonlinear expectations [ EB/OL]. [2012-03-15]. http :// arxiv, org/pdf/math/0702358vl, pdf.
  • 5PENG Shige. A new central limit theorem under sublinear expectations [ EB/OL]. [ 2012-03-15 ]. http://arxiv, org/pdf/ 0803. 2656vl. pdf.
  • 6CHEN Zengjing, Epstein Larry. Ambiguity, risk, and asset returns in continuous time [ J ]. Econometrica, 2002, 70 (4) : 1403-1443.
  • 7CHEN Zengjing, KULPERGER REG. Minimax pricing and Choquet pricing [ J ]. Insurance: Mathematics and Economics, 2006, 38(3) : 518-528.
  • 8PENG Shige. Backward SDE and related g-expectation[ C ]//Backward Stochastic Differential Equations, Pitman Research Notes Mathematical Series 364. Harlow : Longman, 1997 : 141-159.

二级参考文献44

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共引文献28

山东大学学报（理学版）
2012年 第7期

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