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http://dx.doi.org/10.7468/jksmeb.2016.23.4.339
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THE STRUCTURE OF PRIORS' SET OF EQUIVALENT MEASURES |

Kim, Ju Hong (Department of Mathematics, Sungshin Women's University) |

Publication Information

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, in (1.1) is the same set of in (1.3).

Keywords

set of priors; conditional expectation; Bayes' formular; Radon-Nikodym derivative; stopping time;

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