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 ). We show that this kind of nonlinear expectations can be represented by -expectations defined by the solutions of backward stochastic differential equations, whose generators are independent on and uniformly continuous in .
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