Sublinear Expectations and Martingales in discrete time
Probability
2011-04-29 v1
Abstract
We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of martingales, and martingale convergence. We also give a theory of BSDEs in the context of sublinear expectations and a finite-state space, including general existence and comparison results.
Cite
@article{arxiv.1104.5390,
title = {Sublinear Expectations and Martingales in discrete time},
author = {Samuel Cohen and Shaolin Ji and Shige Peng},
journal= {arXiv preprint arXiv:1104.5390},
year = {2011}
}