Constructing Sublinear Expectations on Path Space
AbstractWe 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 G-expectation, and an optional sampling theorem that holds without exceptional set. Our results also shed light on the inherent limitations to constructing sublinear expectations through aggregation.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1205.2415.
Date of creation: May 2012
Date of revision: Apr 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-22 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marcel Nutz, 2010. "Random G-expectations," Papers 1009.2168, arXiv.org, revised Sep 2013.
- Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
- Ariel Neufeld & Marcel Nutz, 2012. "Superreplication under Volatility Uncertainty for Measurable Claims," Papers 1208.6486, arXiv.org, revised Apr 2013.
- Dylan Possama\"i & Guillaume Royer & Nizar Touzi, 2013. "On the Robust superhedging of measurable claims," Papers 1302.1850, arXiv.org, revised Feb 2013.
- Erhan Bayraktar & Song Yao, 2013. "On the Robust Optimal Stopping Problem," Papers 1301.0091, arXiv.org, revised Jul 2014.
- Gordan Zitkovic, 2013. "Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures," Papers 1307.5163, arXiv.org, revised Mar 2014.
- Marcel Nutz, 2013. "Utility Maximization under Model Uncertainty in Discrete Time," Papers 1307.3597, arXiv.org.
- Marcel Nutz & Jianfeng Zhang, 2012. "Optimal Stopping under Adverse Nonlinear Expectation and Related Games," Papers 1212.2140, arXiv.org, revised Jul 2014.
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