Constructing sublinear expectations on path space
نویسندگان
چکیده
منابع مشابه
Constructing Sublinear Expectations on Path Space
We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random Gexpectation, and an optional sampling theorem that holds without exceptional set. Our results also shed light on the inherent li...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2013
ISSN: 0304-4149
DOI: 10.1016/j.spa.2013.03.022