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  • 한국과학기술정보연구원(KISTI) 서울분원 대회의실(별관 3층)
  • 2024년 07월 03일(수) 13:30
 

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  • P-ISSN1226-0657
  • E-ISSN2287-6081
  • KCI

THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR

THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR

한국수학교육학회지시리즈B:순수및응용수학 / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2015, v.22 no.4, pp.333-342
https://doi.org/10.7468/jksmeb.2015.22.4.333
KIM, JU HONG (Department of Mathematics, Sungshin Women's University)

Abstract

We show that the set of priors in the representation of Choquet expectation is the one of equivalent martingale measures under some conditions, when given capacity is submodular. It is proven via Peng’s g-expectation and related topics.

keywords
set of priors, Choquet expectation, g-expectation, coherent risk measures

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한국수학교육학회지시리즈B:순수및응용수학