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http://dx.doi.org/10.7468/jksmeb.2015.22.4.333

THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR  

KIM, JU HONG (Department of Mathematics, Sungshin Women's University)
Publication Information
The Pure and Applied Mathematics / v.22, no.4, 2015 , pp. 333-342 More about this Journal
Abstract
We show that the set of priors in the representation of Choquet expectation is the one of equivalent martingale measures under some conditions, when given capacity is submodular. It is proven via Peng’s g-expectation and related topics.
Keywords
set of priors; Choquet expectation; g-expectation; coherent risk measures;
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