g-expectation of distributions

IF 1 2区数学 Q3 STATISTICS & PROBABILITY

Probability Uncertainty and Quantitative Risk Pub Date : 2022-08-13 DOI:10.3934/puqr.2022021

Mingyu Xu, Z. Xu, X. Zhou

引用次数: 0

Abstract

We deﬁne g -expectation of a distribution as the inﬁmum of the g -expectations of all the terminal random variables sharing that distribution. We present two special cases for nonlinear g where the g -expectation of distributions can be explicitly de-rived. As a related problem, we introduce the notion of law-invariant g -expectation and provide its suﬃcient conditions. Examples of application in ﬁnancial dynamic portfolio choice are supplied.

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分布的g期望

我们将一个分布的g期望定义为共享该分布的所有末端随机变量的g期望的最小值。我们给出了非线性g的两种特殊情况，其中分布的g期望可以显式地推导出来。作为一个相关问题，我们引入了g -期望的概念，并给出了其存在的充分条件。给出了在金融动态投资组合选择中的应用实例。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.