Constructing Sublinear Expectations on Path Space

Marcel Nutz and Ramon van Handel

Papers from arXiv.org

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.

Date: 2012-05, Revised 2013-04
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Citations: View citations in EconPapers (54)

Published in Stoch. Proc. Appl. 123, 3100-3121 (2013)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1205.2415

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