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arXiv · 0910.2519

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

Mingshang Hu
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Abstract

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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Mingshang Hu. 2009-10-14. Choquet expectations and g-expectations with multi-dimensional Brownian motion. https://arxiv.org/abs/0910.2519

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