Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/99073
| DC Field | Value | Language |
|---|---|---|
| dc.contributor | Department of Applied Mathematics | en_US |
| dc.creator | Xu, M | en_US |
| dc.creator | Xu, ZQ | en_US |
| dc.creator | Zhou, XY | en_US |
| dc.date.accessioned | 2023-06-14T01:00:07Z | - |
| dc.date.available | 2023-06-14T01:00:07Z | - |
| dc.identifier.issn | 2367-0126 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10397/99073 | - |
| dc.language.iso | en | en_US |
| dc.publisher | Springer | en_US |
| dc.rights | © Shandong University and AIMS, LLC | en_US |
| dc.rights | This 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.subject | BSDE | en_US |
| dc.subject | Cost efficiency | en_US |
| dc.subject | g-expectation | en_US |
| dc.subject | Law-invariance | en_US |
| dc.subject | Portfolio selection | en_US |
| dc.subject | Probability distribution | en_US |
| dc.title | g-expectation of distributions | en_US |
| dc.type | Journal/Magazine Article | en_US |
| dc.identifier.spage | en_US | |
| dc.identifier.epage | en_US | |
| dc.identifier.volume | en_US | |
| dc.identifier.issue | en_US | |
| dc.identifier.doi | 10.3934/puqr.2022021 | en_US |
| dcterms.abstract | We 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.accessRights | open access | en_US |
| dcterms.bibliographicCitation | Probability uncertainty and quantitative risk, Dec. 2022, v. 7, no. 4, p. 385-404 | en_US |
| dcterms.isPartOf | Probability uncertainty and quantitative risk | en_US |
| dcterms.issued | 2022-12 | - |
| dc.identifier.scopus | 2-s2.0-85141411575 | - |
| dc.identifier.artn | en_US | |
| dc.description.validate | 202306 bcww | en_US |
| dc.description.oa | Accepted Manuscript | en_US |
| dc.identifier.FolderNumber | a2099; a3419b | - |
| dc.identifier.SubFormID | 46601; 50099 | - |
| dc.description.fundingSource | RGC | en_US |
| dc.description.fundingSource | Others | en_US |
| dc.description.fundingText | NSFC;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 University | en_US |
| dc.description.pubStatus | Published | en_US |
| dc.description.oaCategory | Green (AAM) | en_US |
| Appears in Collections: | Journal/Magazine Article | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| g-exp22.pdf | Pre-Published version | 951.56 kB | Adobe PDF | View/Open |
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