Sublinear Expectations and Martingales in discrete time

Samuel Cohen; Shaolin Ji; Shige Peng

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arXiv · 1104.5390

Sublinear Expectations and Martingales in discrete time

Samuel Cohen·Shaolin Ji·Shige Peng

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Abstract

We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of martingales, and martingale convergence. We also give a theory of BSDEs in the context of sublinear expectations and a finite-state space, including general existence and comparison results.

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Samuel Cohen, Shaolin Ji, Shige Peng. 2011-04-28. Sublinear Expectations and Martingales in discrete time. https://arxiv.org/abs/1104.5390

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