A necessary and sufficient condition for probability measures dominated by g-expectation

Long Jiang

Statistics & Probability Letters, 2009, vol. 79, issue 2, 196-201

Abstract: We prove that if the generator g of a g-expectation is independent of y, then a probability measure Q is dominated by if and only if Q can be generated by the Girsanov transformation via a controlled process; furthermore, we prove that equals the supremum of its dominated mathematical expectations if and only if g is sublinear with respect to z.

Date: 2009
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