Title :
Some important inequalities for g-expectation and Choquet expectation
Author :
Zhang, Defei ; Cui, Xiangzhao ; Li, Chun
Author_Institution :
Dept. of Math., Honghe Univ., Mengzi, China
Abstract :
In this paper, several important inequalities for g-expectation and Choquet expectation are obtained by using back-ward stochastic differential equations (BSDEs) and comparison theorem. Markov inequality for g-probability is a special case of this inequality. If the generator g is independent on y and is linear in z, some classical inequalities for Choquet capacity are also presented.
Keywords :
Markov processes; differential equations; stochastic processes; Choquet capacity; Choquet expectation; Markov inequality; backward stochastic differential equations; comparison theorem; g-expectation; g-probability; Chebyshev approximation; Differential equations; Equations; Generators; Markov processes; Random variables;
Conference_Titel :
Fuzzy Systems and Knowledge Discovery (FSKD), 2012 9th International Conference on
Conference_Location :
Sichuan
Print_ISBN :
978-1-4673-0025-4
DOI :
10.1109/FSKD.2012.6233743
