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arXiv:0910.2519 [math.PR]AbstractReferencesReviewsResources

Choquet expectations and g-expectations with multi-dimensional Brownian motion

Mingshang Hu

Published 2009-10-14Version 1

We prove that a g-expectation is a Choquet expectation if and only if g is independent of y and is linear in z, i.e., classical linear expectation, without the assumptions that the deterministic generator g is continuous in t and the dimension of the Brownian motion is one.

Comments: 11 pages
Categories: math.PR
Subjects: 60H10
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