Choquet expectation and Peng's g-expectation
By Zengjing Chen, Tao Chen, M. Davison. 2005
63 citations recorded by the source corpus.
In this paper we consider two ways to generalize the mathematical expectation of a random variable, the Choquet expectation and Peng’s g-expectation. An open question has been, after making suitable restrictions to the class of random variables acted on by the Choquet expectation, for what class of expectation do these two definitions coincide? In this paper we provide a necessary and sufficient condition which proves that the only expectation which lies in both classes is the traditional linear expectation. This settles another open question about whether Choquet expectation may be used to obtain Monte Carlo-like solution of nonlinear PDE: It cannot, except for some very special cases.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/31d53630c9ccf7ed4dc28c075679553674ee2bd2
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In Finance
In Management Science and Operations Research
Citations in the corpus
- Convexity, translation invariance and subadditivity for g-expectations and related risk measures (2008, background): “Since the notion of g-expectation was introduced, many properties of g-expectation have been studied in [3, 4, 5, 6, 13, 14, 15, 17, 18, 19].”