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An Integral Representation Theorem of g-expectations

Chen Zengjing Agnès Sulem 1
1 MATHFI - Financial mathematics
Inria Paris-Rocquencourt, ENPC - École des Ponts ParisTech, UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Abstract : The notion of g-expectations was first introduced by S.Peng via a class of nonlinear backward stochastic differential equations (BSDEs). He showed that g-expectations preserve many of the basic properties of the convenient mathematical expectations and conditional expectations except linearity. He also raised the question about the integral representation of g-expectation- s. In this paper, we try to investigate Peng's question and give a necessary and sufficient condition under which g-expectations can be represented by a Choquet integral.
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https://hal.inria.fr/inria-00072303
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Submitted on : Tuesday, May 23, 2006 - 8:21:11 PM
Last modification on : Thursday, February 3, 2022 - 11:17:51 AM
Long-term archiving on: : Sunday, April 4, 2010 - 11:03:01 PM

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  • HAL Id : inria-00072303, version 1

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Chen Zengjing, Agnès Sulem. An Integral Representation Theorem of g-expectations. [Research Report] RR-4284, INRIA. 2001. ⟨inria-00072303⟩

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