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A Result On the Probability Measures Dominated by g-Expectation

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Abstract

It is proved that a probability measure is dominated by g-expectation \( {\user1{E}}_{\mu } {\left[ \cdot \right]} \) if and only if it can be generated by Girsanov transformation via a process which is uniformly bounded by µ.

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Authors and Affiliations

  1. School of Mathematics and System Sciences, Shandong University, Jinan, 250100, China

    Long Jiang & Zeng-jing Chen

  2. Department of Mathematics, China University of Mining and Technology, Xuzhou, 221008, China

    Long Jiang

Authors
  1. Long Jiang
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  2. Zeng-jing Chen
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Correspondence to Long Jiang.

Additional information

Supported by the National Natural Science Foundation of China (No.10131030) and Science Foundation of Shandong Province (No. Y2000A09).

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Jiang, L., Chen, Zj. A Result On the Probability Measures Dominated by g-Expectation. Acta Mathematicae Applicatae Sinica, English Series 20, 507–512 (2004). https://doi.org/10.1007/s10255-004-0188-5

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  • DOI: https://doi.org/10.1007/s10255-004-0188-5

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