The Pure and Applied Mathematics (한국수학교육학회지시리즈B:순수및응용수학)

Korean Society of Mathematical Education (한국수학교육학회)
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THE STRUCTURE OF PRIORS' SET OF EQUIVALENT MEASURES

  • Kim, Ju Hong (Department of Mathematics, Sungshin Women's University)
  • Received : 2016.06.13
  • Accepted : 2016.10.18
  • Published : 2016.11.30
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Abstract

The set of priors in the representation of Choquet expectation is expressed as the one of equivalent martingale measures under some conditions. We show that the set of priors, $\mathcal{Q}_c$ in (1.1) is the same set of $\mathcal{Q}^{\theta}$ in (1.3).

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References

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