Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/99073
PIRA download icon_1.1View/Download Full Text
DC FieldValueLanguage
dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorXu, Men_US
dc.creatorXu, ZQen_US
dc.creatorZhou, XYen_US
dc.date.accessioned2023-06-14T01:00:07Z-
dc.date.available2023-06-14T01:00:07Z-
dc.identifier.issn2367-0126en_US
dc.identifier.urihttp://hdl.handle.net/10397/99073-
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.rights© Shandong University and AIMS, LLCen_US
dc.rightsThis article has been published in a revised form in Probability, Uncertainty and Quantitative Risk https://www.aimsciences.org/puqr. This version is free to download for private research and study only. Not for redistribution, re-sale or use in derivative works.en_US
dc.subjectBSDEen_US
dc.subjectCost efficiencyen_US
dc.subjectg-expectationen_US
dc.subjectLaw-invarianceen_US
dc.subjectPortfolio selectionen_US
dc.subjectProbability distributionen_US
dc.titleg-expectation of distributionsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage en_US
dc.identifier.epage en_US
dc.identifier.volume en_US
dc.identifier.issue en_US
dc.identifier.doi10.3934/puqr.2022021en_US
dcterms.abstractWe define g-expectation of a distribution as the infimum of the g-expectations of all the terminal random variables sharing that distribution. We present two special cases for nonlinear g where the g-expectation of distributions can be explicitly derived. As a related problem, we introduce the notion of law-invariant g-expectation and provide its sufficient conditions. Examples of application in financial dynamic portfolio choice are supplied.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationProbability uncertainty and quantitative risk, Dec. 2022, v. 7, no. 4, p. 385-404en_US
dcterms.isPartOfProbability uncertainty and quantitative risken_US
dcterms.issued2022-12-
dc.identifier.scopus2-s2.0-85141411575-
dc.identifier.artn en_US
dc.description.validate202306 bcwwen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera2099; a3419b-
dc.identifier.SubFormID46601; 50099-
dc.description.fundingSourceRGCen_US
dc.description.fundingSourceOthersen_US
dc.description.fundingTextNSFC;PolyU-SDU Joint Research Center on Financial Mathematics; CAS AMSS-POLYU Joint Laboratory of Applied Mathematics; Hong Kong Polytechnic University; Nie Center for Intelligent Asset Management at Columbia Universityen_US
dc.description.pubStatusPublisheden_US
dc.description.oaCategoryGreen (AAM)en_US
Appears in Collections:Journal/Magazine Article
Files in This Item:
File Description SizeFormat 
g-exp22.pdfPre-Published version951.56 kBAdobe PDFView/Open
Open Access Information
Status open access
File Version Final Accepted Manuscript
Access
View full-text via PolyU eLinks SFX Query
Show simple item record

Page views

146
Citations as of Feb 9, 2026

Downloads

100
Citations as of Feb 9, 2026

SCOPUSTM   
Citations

2
Citations as of May 8, 2026

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.