g-expectation of distributions  

作　　者：Mingyu Xu Zuo Quan Xu Xun Yu Zhou 

机构地区：[1]School of Mathematical Sciences,Fudan University,Shanghai 200433,China [2]Department of Applied Mathematics,The Hong Kong Polytechnic University,Kowloon,Hong Kong,China [3]Department of Industrial Engineering and Operations Research&The Data Science Institute,Columbia University,New York,NY 10027,USA

出　　处：《Probability, Uncertainty and Quantitative Risk》2022年第4期385-404,共20页概率、不确定性与定量风险（英文）

基　　金：NSFC(Grant No.11971409);The Hong Kong RGC(GRF,Grant No.15202421);The PolyU-SDU Joint Research Center on Financial Mathematics;The CAS AMSS-POLYU Joint Laboratory of Applied Mathematics;The Hong Kong Polytechnic University;Xun Yu Zhou acknowledges financial support through a start-up grant and the Nie Center for Intelligent Asset Management at Columbia University.

摘　　要：We define g-expectation of a distribution as the infimum of the g-expectations of all the terminal random variables sharing that distribution.We present two special cases for nonlinear g where the g-expectation of distributions can be explicitly derived.As a related problem,we introduce the notion of law-invariant g-expectation and provide its sufficient conditions.Examples of application in financial dynamic portfolio choice are supplied.

关 键 词：BSDE G-EXPECTATION Probability distribution Cost efficiency Law-invariance Portfolio selection 

分 类 号：O21[理学—概率论与数理统计]