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The Domination of g-evaluations and Choquet Evaluations
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作者 Kun HE ming shang hu 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2013年第5期1027-1032,共6页
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 ... 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. 展开更多
关键词 BSDES g-expectations g-evaluations Choquet evaluations
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