Inf-convolution of G-expectations

来源 :中国科学：数学英文版 | 被引量 : 0次 | 上传用户：sun383407949

【摘要】

：

In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations,and we present the relationship between inf-

【作者】

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BUCKDAHN Rainer

【机构】

：

LaboratoiredeMath’ematiques

【出处】

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中国科学：数学英文版

【发表日期】

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2010年8期

【关键词】

：

inf-convolution G-EXPECTATION G-normal distribution G-Brownian motion inf-convol

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In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations,and we present the relationship between inf-convolution of G-expectations and the infconvolution of drivers G.

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Inf-convolution of G-expectations

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