Constructing Sublinear Expectations on Path Space
Probability
2015-02-04 v3 Optimization and Control
Risk Management
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
Cite
@article{arxiv.1205.2415,
title = {Constructing Sublinear Expectations on Path Space},
author = {Marcel Nutz and Ramon van Handel},
journal= {arXiv preprint arXiv:1205.2415},
year = {2015}
}
Comments
28 pages; forthcoming in 'Stochastic Processes and their Applications'