Representation of filtration-consistent nonlinear expectation by g-expectation in general framework

Xuejun Shi, Ronglin Ji and Qun Feng

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 24, 5721-5737

Abstract: In this paper, we mainly study nonlinear expectations on the general domain whose elements can be measurable with respect to F∞, a σ-filed generated by the whole path of Brownian motion on infinite time interval. And we obtain that every translation invariant filtration consistent nonlinear expectation with some dominated condition can be represented by a g-expectation introduced by a backward stochastic differential equation on the general time horizon.

Date: 2021
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DOI: 10.1080/03610926.2020.1734829

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