g-expectation of distributions

被引：0

作者：

Mingyu Xu ^{[1
]}

Zuo Quan Xu ^{[2
]}

Xun Yu Zhou ^{[3
]}

机构：

[1] School of Mathematical Sciences,Fudan University

[2] Department of Applied Mathematics,The Hong Kong Polytechnic University

[3] Department of Industrial Engineering and Operations Research & The Data Science Institute,Columbia University

来源：

Probability,Uncertainty and Quantitative Risk | 2022年 / 04期

关键词：

D O I：

暂无

中图分类号：

O211.5 [随机变量];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We define g-expectation of a distribution as the infimum of the q-expectations of all the terminal random variables sharing that distribution.We present two special cases for nonlinear g where the g-expectation of distributions can be explicitly derived.As a related problem,we introduce the notion of law-invariant g-expectation and provide its sufficient conditions.Examples of application in financial dynamic portfolio choice are supplied.

引用

页码：385 / 404

页数：20