分布的g期望

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-08-13 DOI:10.3934/puqr.2022021

Mingyu Xu, Z. Xu, X. Zhou

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引用次数: 0

摘要

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。

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g-expectation of distributions

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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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.