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arXiv · 1205.2415

Constructing Sublinear Expectations on Path Space

Marcel Nutz·Ramon van Handel
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Abstract

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.

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BibTeXRIS

Marcel Nutz, Ramon van Handel. 2013-04-11. Constructing Sublinear Expectations on Path Space. https://doi.org/10.1016/j.spa.2013.03.022

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