| 摘要: |
| 本文研究了平凡可积随机变量的一类非线性期望f-期望.利用陈增敬推广g-期望的方法,扩张了f-期望的定义空间. |
| 关键词: BSDE 非线性期望 f-期望 Lvy过程 |
| DOI： |
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| 基金项目:Supported by the Revitalization Program of Zhongnan University of Economics and Law; NSFC(10771214); MEHSSF(09YJCZH122) |
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LI Biao,XU Jing,ZHANG Bo
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LI Biao1,XU Jing2,ZHANG Bo3(1.Xinhua School of Finance and Insurance,Zhongnan University of Economics and Laws,Wuhan 430073,China)(2.School of Economics and Business Administration,Chongqing University,Chongqing 400030,China)(3.School of Statistics,Renmin University of China,Beijing 100872,China)
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| Abstract: |
| In this paper,we study f-expectation related to the solution of a BSDE driven by L'evy processes.By using the same method given by Chen Zengjing for the general g-expectation,we expand the definition space of the f-expectation. |
| Key words: BSDE non-linear expectation f-expectation L'evy processes |
