English

Representation for filtration-consistent nonlinear expectations under a general domination condition

Probability 2015-03-20 v4

Abstract

In this paper, we consider filtration-consistent nonlinear expectations which satisfy a general domination condition (dominated by Eϕ{\cal{E}}^{\phi}). We show that this kind of nonlinear expectations can be represented by gg-expectations defined by the solutions of backward stochastic differential equations, whose generators are independent on yy and uniformly continuous in zz.

Cite

@article{arxiv.1502.01620,
  title  = {Representation for filtration-consistent nonlinear expectations under a general domination condition},
  author = {Shiqiu Zheng and Shoumei Li},
  journal= {arXiv preprint arXiv:1502.01620},
  year   = {2015}
}

Comments

21 pages, Remark 3.1 is rewritten. Assumption (H2) in the results are eliminated. Comments are welcome

R2 v1 2026-06-22T08:23:03.308Z