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Additivity of the gexpectation for affinerelated random variables

QIN Dong   

  1. School of Mathematics, Shandong Univ., Jinan 250100, Shandong, China
  • Received:2006-11-22 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: QIN Dong

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Abstract: When g satisfies g(y,0,t)=0,(y,t)∈R×［0,T］, the g-expectation is additive for all affinerelated random variables if and only if g=μt|zt|+vtzt. If g need not satisfy g(y,0,t)R×［0,T］, the g-expectation is additivity for all affinerelated random variables if and only if g=μt|zt|+vtzt+vt′yt, where　μt,　vt,　vt′ are continuous functions on ［0,T］.

Key words: additivity , affinerelated, g-expectation

CLC Number: 

  • O211
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