Advanced Search
MyIDEAS: Login

Constructing Sublinear Expectations on Path Space

Contents:

Author Info

  • Marcel Nutz
  • Ramon van Handel
Registered author(s):

    Abstract

    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 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 Info

    If 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.
    File URL: http://arxiv.org/pdf/1205.2415
    File Function: Latest version
    Download Restriction: no

    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1205.2415.

    as in new window
    Length:
    Date of creation: May 2012
    Date of revision: Apr 2013
    Handle: RePEc:arx:papers:1205.2415

    Contact details of provider:
    Web page: http://arxiv.org/

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. Marcel Nutz, 2010. "Random G-expectations," Papers 1009.2168, arXiv.org, revised Sep 2013.
    2. Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Ariel Neufeld & Marcel Nutz, 2012. "Superreplication under Volatility Uncertainty for Measurable Claims," Papers 1208.6486, arXiv.org, revised Apr 2013.
    2. Dylan Possama\"i & Guillaume Royer & Nizar Touzi, 2013. "On the Robust superhedging of measurable claims," Papers 1302.1850, arXiv.org, revised Feb 2013.
    3. Erhan Bayraktar & Song Yao, 2013. "On the Robust Optimal Stopping Problem," Papers 1301.0091, arXiv.org, revised Jul 2014.
    4. Gordan Zitkovic, 2013. "Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures," Papers 1307.5163, arXiv.org, revised Mar 2014.
    5. Marcel Nutz, 2013. "Utility Maximization under Model Uncertainty in Discrete Time," Papers 1307.3597, arXiv.org.
    6. Marcel Nutz & Jianfeng Zhang, 2012. "Optimal Stopping under Adverse Nonlinear Expectation and Related Games," Papers 1212.2140, arXiv.org, revised Jul 2014.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:1205.2415. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.