风险厌恶下g-期望的保常性与g(t,y,0)=0的关系
首发时间:2011-04-02
摘要:本文在倒向随机微分方程解存在唯一性的两个基本假设条件下分别研究了条件 g(t,y,0)=0与条件g-期望保常性的关系,得到g(t,y,0)=0是条件g-期望具有保常性的充分必要条件;在g-期望具有风险厌恶或风险偏好的条件下,得到了g(t,y,0)=0是g-期望具有保常性的充分必要条件.
关键词: 倒向随机微分方程 g-期望 条件g-期望 风险厌恶
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Relation between constancy of g-expectation and g(t,y,0)=0 under risk aversion
Abstract:In the framework of backward stochastic differential equationwe we study the relationship between constancy of conditional g-expectation and g(t,y,0) = 0 .By investigating the constancy property of conditional g-expectation,a necessary and sufficient condition on the constancy of conditional g-expectation can be gained.Furthermore,when g-expectation have the property "Risk Aversion",we get g(t,y,0) = 0 is a necessary and sufficient condition on the constancy of g-expectationan.
Keywords: backward stochastic differential equations g-expectation conditional g-expectation risk aversion
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No.4418065559694130****
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