67 citations
2 papers
math.PR2005★ 31 cited
Two-parameter -variation Paths and Integrations of Local Times
Chunrong Feng, Huaizhong Zhao
In this paper, we prove two main results. The first one is to give a new condition for the existence of two-parameter -variation path integrals. Our condition of locally boun…
math.PR2005★ 67 cited
Choquet expectation and Peng's g-expectation
Zengjing Chen, Tao Chen, Matt Davison
In this paper we consider two ways to generalize the mathematical expectation of a random variable, the Choquet expectation and Peng's g-expectation. An open question has been, aft…