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Additivity of the gexpectation for affinerelated random variables
- QIN Dong
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J4. 2007, 42(6):
31-34 .
doi:
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When g satisfies g(y,0,t)=0,(y,t)∈R×[0,T], the g-expectation is additive for all affinerelated 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 affinerelated random variables if and only if g=μt|zt|+vtzt+vt′yt, where μt, vt, vt′ are continuous functions on [0,T].