
Additivity of the gexpectation for affinerelated random variables
 QIN Dong

J4. 2007, 42(6):
3134 .
doi:

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When g satisfies g(y,0,t)=0,(y,t)∈R×［0,T］, the gexpectation is additive for all affinerelated random variables if and only if g=μtzt+vtzt. If g need not satisfy g(y,0,t)R×［0,T］, the gexpectation is additivity for all affinerelated random variables if and only if g=μtzt+vtzt+vt′yt, where μt, vt, vt′ are continuous functions on ［0,T］.