English

On $g$-expectations and filtration-consistent nonlinear expectations

Probability 2024-03-05 v4

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 zz. Using the two results, we further develop the theory of gg-expectations. Filtration-consistent nonlinear expectation (F{\cal{F}}-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 F{\cal{F}}-expectation can be represented as a gg-expectation. Our results contain a representation theorem for nn-dimensional F{\cal{F}}-expectations in the Lipschitz case, and two representation theorems for 11-dimensional F{\cal{F}}-expectations in the locally Lipschitz case, which contain quadratic F{\cal{F}}-expectations.

Keywords

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

R2 v1 2026-06-28T08:40:57.001Z