Loading [a11y]/accessibility-menu.js
Some important inequalities for g-expectation and Choquet expectation | IEEE Conference Publication | IEEE Xplore

Some important inequalities for g-expectation and Choquet expectation


Abstract:

In this paper, several important inequalities for g-expectation and Choquet expectation are obtained by using back-ward stochastic differential equations (BSDEs) and comp...Show More

Abstract:

In this paper, several important inequalities for g-expectation and Choquet expectation are obtained by using back-ward stochastic differential equations (BSDEs) and comparison theorem. Markov inequality for g-probability is a special case of this inequality. If the generator g is independent on y and is linear in z, some classical inequalities for Choquet capacity are also presented.
Date of Conference: 29-31 May 2012
Date Added to IEEE Xplore: 09 July 2012
ISBN Information:
Conference Location: Chongqing, China

References

References is not available for this document.