| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154264 | Statistics & Probability Letters | 2006 | 9 Pages |
Abstract
This paper proves that if an g -expectation Eg[·]Eg[·] satisfies comonotonic additivity, then the corresponding generator g must be independent of y and be positively homogeneous with respect to z ; furthermore, if Eg[·]Eg[·] is also subadditive, then the conditional g-expectation will also satisfy comonotonic additivity.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Long Jiang,