具有共单调可加性的g-估计的一些结论
Some results of g-evaluation with comonotonic additivity
本文研究了具有共单调可加性的g-估计的一些性质，证明了如果一个g-估计满足共单调可加性，则它也满足正齐次性，并且相应的生成元g关于y, z是正齐次的。进一步的，在布朗运动的维数是一的前提下，本文得到了g关于y, z可加的一个充分条件，同时给出了g的形式。
his paper studies some properties of g-evaluation with comonotonic additivity and proves that if an g- evaluation satisfies the property of comonotonic additivity, then it also satisfies the property of positively homogeneous and the corresponding generator g must be positively homogeneous with respect to y and z. Furthermore this paper gets a sufficient condition for g is additive with respect to y and z and gets the form of g on condition that the dimension of Brownian motion is one.
田德建、朱冬芸、冯世强、邓芳、赵曼
数学
倒向随机微分方程g-估计共单调可加性
Backward stochastic differential equationg-Evaluationomonotonic additivity
田德建,朱冬芸,冯世强,邓芳,赵曼.具有共单调可加性的g-估计的一些结论[EB/OL].(2009-05-18)[2025-08-24].http://www.paper.edu.cn/releasepaper/content/200905-405.点此复制
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