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| 摘要: |
| 本文研究了扭曲数学期望. 利用构造示性函数的方法, 证明了扭曲数学期望满足常数平移不变性的充要条件是该扭曲数学期望是熵期望. |
| 关键词: 非线性数学期望 扭曲数学期望 熵期望 |
| DOI： |
| 分类号:O211.1 |
| 基金项目: |
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| SOME PROPERTIES OF DISTORTION EXPECTATIONS |
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LI Xiao-juan
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| Abstract: |
| In this paper, we study the distortion expectations. By using the method of constructing indicator function, we prove that a distortion expectation satisfies the constant translation invariance property if and only if it is an entropic expectation. |
| Key words: nonlinear expectations distortion expectations entropic expectations |
