基于g-期望的收敛定理

Convergence theorems for g-expectation

  • 摘要: 彭实戈通过倒向随机微分方程引入了g-期望的概念并研究了它的一些性质.在此基础上,继续研究g-期望的性质.通过与经典的数学期望比较,提出并证明了基于g-期望的Levi,Fatou及Lebesgue控制收敛定理.

     

    Abstract: PENG Shi-ge introduced the notion of g-expectation by backward stochastic differential equation and investigated some properties about it.With these results,some further properties of g-expectation are explored.Levi,Fatou and Lebesgue convergence theorems for g-expectation are put forward and proved by constrasting with classical mathematical expectation.

     

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