A general kind of g-expectation and their properties

摘要：

This paper generalizes the definition of classical g-expectations which is used as a nonlinear measurement in the risk management and mathematical finance. It con siders properties of g-expectations, such as translation in variant property and converse comparison theorem.

作者: He Kun

作者单位: School of Mathematics, Shandong University, Shandong, Jinan, 250100 College of Science, Donghua University, Shanghai, 200051

会议类型: 国际会议

会议名称: International Conference on Intelligent Computation Technology and Automation(2008 智能计算技术与自动化国际会议 ICICTA 2008)

会议地点: 长沙

会议语种:英文

页码: 1191-1193

在线出版日期: 2008-10-20（万方平台首次上网日期，不代表论文的发表时间）