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Choquet expectation and Peng's g -expectation
2005
Annals of Probability
In this paper we consider two ways to generalize the mathematical expectation of a random variable, the Choquet expectation and Peng's g-expectation. An open question has been, after making suitable restrictions to the class of random variables acted on by the Choquet expectation, for what class of expectation do these two definitions coincide? In this paper we provide a necessary and sufficient condition which proves that the only expectation which lies in both classes is the traditional
doi:10.1214/009117904000001053
fatcat:kpw6phjprffrri533jedxrmh6m