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http://dx.doi.org/10.7468/jksmeb.2016.23.4.339

THE STRUCTURE OF PRIORS' SET OF EQUIVALENT MEASURES  

Kim, Ju Hong (Department of Mathematics, Sungshin Women's University)
Publication Information
The Pure and Applied Mathematics / v.23, no.4, 2016 , pp. 339-345 More about this Journal
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).
Keywords
set of priors; conditional expectation; Bayes' formular; Radon-Nikodym derivative; stopping time;
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Times Cited By KSCI : 1  (Citation Analysis)
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