Fubini theorem for non additive measures in the framework of g-expectation |
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Authors: | Feng Hu Zhaojun Zong Helin Wu |
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Institution: | 1. School of Statistics, Qufu Normal University, Qufu, China;2. School of Mathematics and Statistics, Chongqing University of Technology, Chongqing, China |
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Abstract: | Since the seminal paper of Ghirardato (1997 Ghirardato, P. 1997. On the independence for non-additive measures, with a Fubini theorem. Journal of Economic Theory 73:261–91.Crossref], Web of Science ®] , Google Scholar]), it is known that Fubini theorem for non additive measures can be available only for functions as “slice-comonotonic” in the framework of product algebra. Later, inspired by Ghirardato (1997 Ghirardato, P. 1997. On the independence for non-additive measures, with a Fubini theorem. Journal of Economic Theory 73:261–91.Crossref], Web of Science ®] , Google Scholar]), Chateauneuf and Lefort (2008 Chateauneuf, A., and J. P. Lefort. 2008. Some Fubini theorems on product σ-algebras for non-additive measures. International Journal of Approximate Reasoning 48:686–96.Crossref], Web of Science ®] , Google Scholar]) obtained some Fubini theorems for non additive measures in the framework of product σ-algebra. In this article, we study Fubini theorem for non additive measures in the framework of g-expectation. We give some different assumptions that provide Fubini theorem in the framework of g-expectation. |
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Keywords: | Backward stochastic differential equation Fubini theorem g-Expectation Non additive measure |
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