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A Result On the Probability Measures Dominated by ${\pmb g}$-Expectation
Backward stochastic differential equation g-expectation conditional g-expectation Girsanov transformation
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2007/12/12
It is proved that a probability measure is dominated by$g$-expectation ${\cal E}_{\mu}[\cdot]$ if and only if it can begenerated by Girsanov transformation via a process which isuniformly bounded by ...