{
  "id": "0910.2519",
  "version": "v1",
  "published": "2009-10-14T02:54:31.000Z",
  "updated": "2009-10-14T02:54:31.000Z",
  "title": "Choquet expectations and g-expectations with multi-dimensional Brownian motion",
  "authors": [
    "Mingshang Hu"
  ],
  "comment": "11 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2009-10-14T02:54:31.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10"
    ],
    "keywords": [
      "multi-dimensional brownian motion",
      "choquet expectation",
      "g-expectation",
      "classical linear expectation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 11,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2009arXiv0910.2519H"
    }
  }
}