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

ISSN : 1226-0657

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Vol.23 No.4

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THE STRUCTURE OF PRIORS' SET OF EQUIVALENT MEASURES

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2016, v.23 no.4, pp.339-345
https://doi.org/10.7468/jksmeb.2016.23.4.339
Kim, Ju Hong
Kim,, J. H. (2016). THE STRUCTURE OF PRIORS' SET OF EQUIVALENT MEASURES. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 23(4), 339-345, https://doi.org/10.7468/jksmeb.2016.23.4.339

Abstract

The set of priors in the representation of Choquet expectation is expressed as the one of equivalent martingale measures under some conditions. We show that the set of priors, <TEX>$\mathcal{Q}_c$</TEX> in (1.1) is the same set of <TEX>$\mathcal{Q}^{\theta}$</TEX> in (1.3).

keywords
set of priors, conditional expectation, Bayes' formular, Radon-Nikodym derivative, stopping time

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics

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