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Reports (Research Report) Year : 2001

An Integral Representation Theorem of g-expectations

Chen Zengjing
  • Function : Author


The notion of g-expectations was first introduced by S.Peng via a class of nonlinear backward stochastic differential equations (BSDEs). He showed that g-expectations preserve many of the basic properties of the convenient mathematical expectations and conditional expectations except linearity. He also raised the question about the integral representation of g-expectation- s. In this paper, we try to investigate Peng's question and give a necessary and sufficient condition under which g-expectations can be represented by a Choquet integral.
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Dates and versions

inria-00072303 , version 1 (23-05-2006)


  • HAL Id : inria-00072303 , version 1


Chen Zengjing, Agnès Sulem. An Integral Representation Theorem of g-expectations. [Research Report] RR-4284, INRIA. 2001. ⟨inria-00072303⟩
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