An integral representation theorem of g expectations
The notion of g expectations was first introduced by S.Peng via a class of nonlinear backward stochastic differential equations (BSDEs) He showed that g expectations preserve many of the basic properties of the convenient mathematical expectations and conditional expectations except linearity. He also raised the question about the integral representation of g expectation s. In this paper, we try to investigate Peng's question and give a necessary and sufficient condition under which g expectations can be represented by a Choquet integral.
Risk Decis. Anal.