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The Domination of g-evaluations and Choquet Evaluations

The Domination of g-evaluations and Choquet Evaluations
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摘要 In this paper, we obtain that a convex g evaluation can be dominated by the corresponding Choquet evaluation if and only if g has the form g(t, y, z) =uty + h(t, z), where h(t, z) is positively homogeneous and subadditive with respect to z. In this paper, we obtain that a convex g evaluation can be dominated by the corresponding Choquet evaluation if and only if g has the form g(t, y, z) =uty + h(t, z), where h(t, z) is positively homogeneous and subadditive with respect to z.
出处 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2013年第5期1027-1032,共6页 数学学报(英文版)
基金 supported by National Natural Science Foundation of China(Grant Nos.11126252,10971220,11171062and11001046) supported by the Independent Innovation Foundation of Shandong University(Grant No.2010GN026)
关键词 BSDES g-expectations g-evaluations Choquet evaluations BSDEs, g-expectations, g-evaluations, Choquet evaluations
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