Choquet expectation and Peng’s g-expectation
Chen, Zengjing ; Chen, Tao ; Davison, Matt
Ann. Probab., Tome 33 (2005) no. 1, p. 1179-1199 / Harvested from Project Euclid
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.
Publié le : 2005-05-14
Classification:  Backward stochastic differential equation (BSDE),  g-expectation,  representation theorem of g-expectation,  Choquet-expectation,  60H10,  60G48
@article{1115386723,
     author = {Chen, Zengjing and Chen, Tao and Davison, Matt},
     title = {Choquet expectation and Peng's g-expectation},
     journal = {Ann. Probab.},
     volume = {33},
     number = {1},
     year = {2005},
     pages = { 1179-1199},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1115386723}
}
Chen, Zengjing; Chen, Tao; Davison, Matt. Choquet expectation and Peng’s g-expectation. Ann. Probab., Tome 33 (2005) no. 1, pp.  1179-1199. http://gdmltest.u-ga.fr/item/1115386723/