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A note on g-expectation with comonotonic additivity

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  • Jiang, Long

Abstract

This paper proves that if an g-expectation satisfies comonotonic additivity, then the corresponding generator g must be independent of y and be positively homogeneous with respect to z; furthermore, if is also subadditive, then the conditional g-expectation will also satisfy comonotonic additivity.

Suggested Citation

  • Jiang, Long, 2006. "A note on g-expectation with comonotonic additivity," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1895-1903, November.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:17:p:1895-1903
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    References listed on IDEAS

    as
    1. Jiang, Long, 2005. "Representation theorems for generators of backward stochastic differential equations and their applications," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 1883-1903, December.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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    Cited by:

    1. Jiang, Long, 2009. "A necessary and sufficient condition for probability measures dominated by g-expectation," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 196-201, January.
    2. Hu, Feng & Chen, Zengjing, 2010. "Generalized Peng's g-expectations and related properties," Statistics & Probability Letters, Elsevier, vol. 80(3-4), pages 191-195, February.

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