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 MoreMetadata
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: