Choquet expectations and g-expectations with multi-dimensional Brownian motion

Details Choquet expectations and g-expectations with multi-dimensional Brownian motion Choquet expectations and g-expectations with multi-dimensional Brownian motion

2009-10-14

arxiv.org/abs/0910.2519v1

Mathematics

Probability

11 pages

Scientific paper

We prove that a g-expectation is a Choquet expectation if and only if g is
independent of y and is linear in z, i.e., classical linear expectation,
without the assumptions that the deterministic generator g is continuous in t
and the dimension of the Brownian motion is one.

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