no. 9-10
Probability Theory
On the integral representation of g-expectations
[Sur le représentation intégrale pour les g-espérances]

Présenté par : Marc Yor

Hu, Mingshang1
1 School of Mathematics, Shandong University, Jinan 250100, China
Comptes Rendus. Mathématique, Tome 348 (2010) no. 9-10, pp. 571-574.

Dans cette Note, nous donnons une condition nécessaire et suffisante sur g déterministe sous laquelle les g-espérances peut être représentée par les espérances de Choquet.

In this Note, we give a necessary and sufficient condition on deterministic g under which g-expectations can be represented as Choquet expectations.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2010.04.008
Hu, Mingshang 1

1 School of Mathematics, Shandong University, Jinan 250100, China 
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Hu, Mingshang. On the integral representation of g-expectations. Comptes Rendus. Mathématique, Tome 348 (2010) no. 9-10, pp. 571-574. doi : 10.1016/j.crma.2010.04.008. http://www.numdam.org/articles/10.1016/j.crma.2010.04.008/

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