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Conditional nonlinear expectations
Institution:1. School of Sciences, Communication University of China, Beijing 100024, China;2. Faculty of Civil Engineering, Slovak University of Technology, Radlinského 11, 813 68 Bratislava, Slovakia;3. UTIA CAS, Pod Vodárenskou věží 4, 182 08 Prague, Czech Republic;4. Faculty of Sciences, University of Novi Sad, 21 000 Novi Sad, Serbia;5. Óbuda University, H-1034 Budapest, Becsi út 96/B, Hungary;6. Educons University, 21208 Sremska Kamenica, Serbia;1. University “Ss. Cyril and Methodius” in Skopje, Faculty of Computer Science and Engineering, Bulevar Rudjer Bošković 16, PO Box 393, 1000 Skopje, Macedonia;2. University in Niš, Faculty of Science and Mathematics, Višegradska 33, 18000 Niš, Serbia
Abstract:
Keywords:Nonlinear expectations  Dual representation  Choquet capacity  Tower property  Dynamic programming  Mathematical finance under uncertainty
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