On the strict comparison theorem for $G$-expectations

Abstract

This paper investigates the strict comparison theorem under the framework of $G$-expectation, i.e., let $X\le Y$ q.s., if $X,Y$ satisfy some additional conditions, then $\E[X]<\E[Y]$.

7 pages

References in corpus (1)

• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty

Cited by in corpus (2)

• Some sample path properties of G-Brownian motion
• Robust valuation and risk measurement under model uncertainty