Fubini theorem for non additive measures in the framework of g-expectation

Feng Hu, Zhaojun Zong and Helin Wu

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 23, 11776-11785

Abstract: Since the seminal paper of Ghirardato (1997), it is known that Fubini theorem for non additive measures can be available only for functions as “slice-comonotonic” in the framework of product algebra. Later, inspired by Ghirardato (1997), Chateauneuf and Lefort (2008) obtained some Fubini theorems for non additive measures in the framework of product σ-algebra. In this article, we study Fubini theorem for non additive measures in the framework of g-expectation. We give some different assumptions that provide Fubini theorem in the framework of g-expectation.

Date: 2017
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DOI: 10.1080/03610926.2017.1285921

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