Constructing sublinear expectations on path space

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:123

Article

Nutz, Marcel¹  van Handel, Ramon² 

[1] Columbia Univ, Dept Math, New York, NY 10027 USA

[2] Princeton Univ, Princeton, NJ 08544 USA

关键词: Sublinear expectation;    G-expectation;    Random G-expectation;    Time-consistency;    Optional sampling;    Dynamic programming;    Analytic set;   

DOI  :  10.1016/j.spa.2013.03.022

来源: Elsevier

【 摘 要 】

We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random G-expectation, and an optional sampling theorem that holds without exceptional set. Our results also shed light on the inherent limitations to constructing sublinear expectations through aggregation. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free