Constructing sublinear expectations on path space

Marcel Nutz and Ramon van Handel

Stochastic Processes and their Applications, 2013, vol. 123, issue 8, 3100-3121

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.

Keywords: Sublinear expectation; G-expectation; Random G-expectation; Time-consistency; Optional sampling; Dynamic programming; Analytic set (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (46)

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DOI: 10.1016/j.spa.2013.03.022

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