| Lp空间中随机变量的g-期望与条件g-期望 |
| |
| 引用本文： | 纪荣林,江龙,李莉. Lp空间中随机变量的g-期望与条件g-期望[J]. 工科数学, 2011, 0(2): 93-98 |
| |
| 作者姓名： | 纪荣林 江龙 李莉 |
| |
| 作者单位： | 中国矿业大学理学院,江苏徐州221116 |
| |
| 基金项目： | 国家自然科学基金（10671205）; 中国博士后科学基金（20060400158）; 江苏省“青蓝工程”中青年学术带头人基金资助项目 |
| |
| 摘 要： | 利用倒向随机微分方程的Lp解定义了Lp空间中随机变量g-期望与条件g-期望,扩张了g-期望与条件g-期望的定义空间;证明了用Lp解定义的g-期望与文[5]用算子连续扩张方法定义的一般g-期望的一致性,得到了Lp空间中随机变量的g-期望与条件g-期望的一些性质.
|
| 关 键 词： | 倒向随机微分方程 g-期望 Lp空间上的g-期望 |
G-expectation and Conditional g-expectation of Randon Variables in Lp Space |
| |
| JI Rong-lin,JIANG Long,LI Li. G-expectation and Conditional g-expectation of Randon Variables in Lp Space[J]. Journal of Mathematics For Technology, 2011, 0(2): 93-98 |
| |
| Authors: | JI Rong-lin JIANG Long LI Li |
| |
| Affiliation: | (Department of Mathematics,China University of Mining and Technology,Xuzhou 221116,China) |
| |
| Abstract: | We define the g-expectation and conditional g-expectation of randon variables in Lp space via the Lp solutions of backward stochastic differential equations when 1〈p〈2,extend the notions of g-expectations and conditional g-expectation,show that our definition of g-expectation in Lp space is cohernt to the generalized g-expectationone defined by operator expansion in reference[5],and we also study some properties of the g-expectation and condtional g-expectation in Lp space. |
| |
| Keywords: | backwards stochastic differential equations g-expectation g-expectation in Lp space |
| 本文献已被 维普 等数据库收录！ |
|
