【摘要】 证明了当g满足对任意(y,t)∈R×[0,T],g(y,0,t)=0时,g-期望对所有的仿射相关的随机变量可加当且仅当g=μt|zt|+vtzt;不要求g满足任意(y,t)∈R×[0,T],g(y,0,t)=0时,g-期望对所有的仿射相关的随机变量可加当且仅当g=tμ|zt|+vtzt+vt′yt,其中tμ,vt,vt′是[0,T]上的连续函数.更多还原

【Abstract】 When g satisfies g(y,0,t)≡0,(y,t)∈R×, the g-expectation is additive for all affine-related random variables if and only if g=μt|zt|+vtzt.If g need not satisfy g(y,0,t)≡0,(y,t)∈R×,the g-expectation is additivity for all affine-related random variables if and only if g=μt|zt|+vtzt+vt′yt, where μt,vt,vt′ are continuous functions on .更多还原