Nonlinear Expectations and g-Expectations
We investigate nonlinear expectations. We briefly discuss Choquet expectations and we focus on g-expectations defined by BSDEs. The connection between filtration-consistent nonlinear expectations and g-expectations is presented. We study the properties of translation invariance, positive homogeneity, convexity and sub-linearity of g-expectations and we show that these properties are determined by the generator of the BSDE defining the g-expectation.
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