The domination of g-evaluations and Choquet evaluations |
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| Authors: | Kun He Ming Shang Hu |
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| Institution: | 11630. Department of Mathematics, Donghua University, Shanghai, 201620, P. R. China
21630. School of Mathematics, Shandong University, Jinan, 250100, P. R. China
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| Abstract: | In this paper, we obtain that a convex g evaluation can be dominated by the corresponding Choquet evaluation if and only if the g has the form g(t, y, z) = µ t y+h(t, z), where h(t, z) is positively homogeneous and subadditive with respect to z. |
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| Keywords: | BSDEs g-expectations g-evaluations Choquet evaluations |
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