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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

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    1. 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.
    2. 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.
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    Cited by:

    1. 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.
    2. 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.

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