Choquet expectations and g-expectations with multi-dimensional Brownian motion
classification
🧮 math.PR
keywords
brownianchoquetexpectationlinearmotionassumptionsclassicalcontinuous
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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.
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