• DocumentCode
    2541411
  • 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
  • fYear
    2012
  • fDate
    29-31 May 2012
  • Firstpage
    601
  • Lastpage
    603
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Fuzzy Systems and Knowledge Discovery (FSKD), 2012 9th International Conference on
  • Conference_Location
    Sichuan
  • Print_ISBN
    978-1-4673-0025-4
  • Type

    conf

  • DOI
    10.1109/FSKD.2012.6233743
  • Filename
    6233743
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2541411