Most work on capacities has focused on the 2-alternating and sub 2-alternating.In this paper we consider the capacities-g-probabilities derived from peng＇s g-expectations.When g satisfies some conditions,we show that...Most work on capacities has focused on the 2-alternating and sub 2-alternating.In this paper we consider the capacities-g-probabilities derived from peng＇s g-expectations.When g satisfies some conditions,we show that the g-probabilities fail to be 2-alternating but are sub 2-alternating.展开更多
In this paper, we derive a law of large numbers under the nonlinear expectation generated by backward stochastic differential equations driven by G-Brownian motion.
In this paper, we first study a property about the generator g of Backward Stochastic Differential Equation （BSDE） when the price of contingent claims can be represented by a multidimensional BSDE in the no-arbitrag...In this paper, we first study a property about the generator g of Backward Stochastic Differential Equation （BSDE） when the price of contingent claims can be represented by a multidimensional BSDE in the no-arbitrage financial market. Furthermore, motivated by the behavior of agents in finance market, we introduce a new total order q on Rn and obtain a necessary and sufficient condition for comparison theorem of multidimensional BSDEs under this order. We also give some further results for q展开更多
基金Supported by the National Natural Science Foundation of China (No.10771119)the National Basic Research Program of China (973 Program,No.2007CB814901)+1 种基金the Central University of Finance and Economics211 project No.3.WCU program of the Korea Science and Engineering Foundation (R31-20007)
文摘Most work on capacities has focused on the 2-alternating and sub 2-alternating.In this paper we consider the capacities-g-probabilities derived from peng＇s g-expectations.When g satisfies some conditions,we show that the g-probabilities fail to be 2-alternating but are sub 2-alternating.
基金Supported by the National Natural Science Foundation of China(No.11211061 and No.11231005)Natural Science Foundation of Shandong Province(No.ZR2013AQ021)
文摘In this paper, we derive a law of large numbers under the nonlinear expectation generated by backward stochastic differential equations driven by G-Brownian motion.
基金Supported partly by the National Science Foundation of China(Grant No.11231005)the China Postdoctoral Science Foundation(Grant No.2013M541899)the Natural Science Foundation of Shandong Province of China(Grant No.ZR2013AQ021)
文摘In this paper, we first study a property about the generator g of Backward Stochastic Differential Equation （BSDE） when the price of contingent claims can be represented by a multidimensional BSDE in the no-arbitrage financial market. Furthermore, motivated by the behavior of agents in finance market, we introduce a new total order q on Rn and obtain a necessary and sufficient condition for comparison theorem of multidimensional BSDEs under this order. We also give some further results for q
