On $g$-expectations and filtration-consistent nonlinear expectations
Abstract
In this paper, we obtain a comparison theorem and a invariant representation theorem for backward stochastic differential equations (BSDEs) without any assumption on the second variable . Using the two results, we further develop the theory of -expectations. Filtration-consistent nonlinear expectation (-expectation) provides an ideal characterization for the dynamical risk measures, asset pricing and utilities. We propose two new conditions: an absolutely continuous condition and a (locally Lipschitz) domination condition. Under the two conditions respectively, we prove that any -expectation can be represented as a -expectation. Our results contain a representation theorem for -dimensional -expectations in the Lipschitz case, and two representation theorems for -dimensional -expectations in the locally Lipschitz case, which contain quadratic -expectations.
Cite
@article{arxiv.2302.07793,
title = {On $g$-expectations and filtration-consistent nonlinear expectations},
author = {Shiqiu Zheng},
journal= {arXiv preprint arXiv:2302.07793},
year = {2024}
}
Comments
31 pages. A gap in the proof of Theorem 2.7 is fixed. Theorem 2.7 and Example 2.9(ii) are revised slightly. Some typos are corrected. Comments are welcome