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arXiv · 1502.01620

Representation for filtration-consistent nonlinear expectations under a general domination condition

Shiqiu Zheng·Shoumei Li
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Abstract

In this paper, we consider filtration-consistent nonlinear expectations which satisfy a general domination condition (dominated by ${\cal{E}}^ϕ$). We show that this kind of nonlinear expectations can be represented by $g$-expectations defined by the solutions of backward stochastic differential equations, whose generators are independent on $y$ and uniformly continuous in $z$.

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Shiqiu Zheng, Shoumei Li. 2015-03-19. Representation for filtration-consistent nonlinear expectations under a general domination condition. https://arxiv.org/abs/1502.01620

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