A Result On the Probability Measures Dominated by g-Expectation  

作　　者：LongJiang Zeng-jingChen 

机构地区：[1]SchoolofMathematicsandSystemSciences,ShandongUniversity,Jinan250100,China

出　　处：《Acta Mathematicae Applicatae Sinica》2004年第3期507-512,共6页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China (No.10131030);Science Foundation of Shandong Province (No.Y2000A09).

摘　　要：It is proved that a probability measure is dominated by g-expectation if and only if it can be generated by Girsanov transformation via a process which is uniformly bounded by μ.It is proved that a probability measure is dominated by g-expectation if and only if it can be generated by Girsanov transformation via a process which is uniformly bounded by μ.

关 键 词：Backward stochastic differential equation G-EXPECTATION conditional g-expectation Girsanov transformation 

分 类 号：O211.63[理学—概率论与数理统计]