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| 基于g-期望的收敛定理 | |
| 引用本文： | 朱开永,范胜君,吴祝武.基于g-期望的收敛定理[J].云南大学学报(自然科学版),2009,31(3):227-231. |
| 作者姓名： | 朱开永 范胜君 吴祝武 |
| 作者单位： | 1. 中国矿业大学, 徐海学院, 江苏 徐州, 221008; 2. 中国矿业大学, 理学院, 江苏 徐州, 221008 |
| 摘 要： | 彭实戈通过倒向随机微分方程引入了g-期望的概念并研究了它的一些性质.在此基础上,继续研究g-期望的性质.通过与经典的数学期望比较,提出并证明了基于g-期望的Levi,Fatou及Lebesgue控制收敛定理. |
| 关 键 词： | 倒向随机微分方程 g-期望 条件g-期望 收敛定理 |
| 收稿时间： | 2008-9-24 |
Convergence theorems for g-expectation |
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| ZHU Kai-yong,FAN Sheng-jun,WU Zhu-wu.Convergence theorems for g-expectation[J].Journal of Yunnan University(Natural Sciences),2009,31(3):227-231. | |
| Authors: | ZHU Kai-yong FAN Sheng-jun WU Zhu-wu |
| Institution: | 1. Xuhai College, China University of Mining Technology, Xuzhou 221008, China; 2. College of Sciences, China University of Mining Technology, Xuzhou 221008, China |
| Abstract: | PENG Shi-ge introduced the notion of g-expectation by backward stochastic differential equation and investigated some properties about it.With these results,some further properties of g-expectation are explored.Levi,Fatou and Lebesgue convergence theorems for g-expectation are put forward and proved by constrasting with classical mathematical expectation. |
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