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THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR
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  • Journal title : The Pure and Applied Mathematics
  • Volume 22, Issue 4,  2015, pp.333-342
  • Publisher : Korea Society of Mathematical Education
  • DOI : 10.7468/jksmeb.2015.22.4.333
 Title & Authors
THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR
KIM, JU HONG;
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 Abstract
We show that the set of priors in the representation of Choquet expectation is the one of equivalent martingale measures under some conditions, when given capacity is submodular. It is proven via Peng’s g-expectation and related topics.
 Keywords
set of priors;Choquet expectation;g-expectation;coherent risk measures;
 Language
English
 Cited by
 References
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