| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153458 | Statistics & Probability Letters | 2009 | 6 Pages |
Abstract
We prove that if the generator gg of a gg-expectation EgEg is independent of yy, then a probability measure QQ is dominated by EgEg if and only if QQ can be generated by the Girsanov transformation via a controlled process; furthermore, we prove that EgEg equals the supremum of its dominated mathematical expectations if and only if gg is sublinear with respect to zz.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Long Jiang,