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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1205.2415.
Date of creation: May 2012
Date of revision: Apr 2013
Contact details of provider:
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.
- Marcel Nutz, 2014. "Robust Superhedging with Jumps and Diffusion," Papers 1407.1674, arXiv.org.
- Bruno Bouchard & Marcel Nutz, 2014. "Consistent Price Systems under Model Uncertainty," Papers 1408.5510, arXiv.org.
- Marcel Nutz, 2013. "Utility Maximization under Model Uncertainty in Discrete Time," Papers 1307.3597, arXiv.org.
- Erhan Bayraktar & Alexander Munk, 2014. "Unanticipated Features of the Multidimensional $G$-Normal Distribution," Papers 1407.5139, arXiv.org.
- 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 & Jianfeng Zhang, 2012. "Optimal Stopping under Adverse Nonlinear Expectation and Related Games," Papers 1212.2140, arXiv.org, revised Jul 2014.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.