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 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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- Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
- Marcel Nutz, 2010. "Random G-expectations," Papers 1009.2168, arXiv.org, revised Sep 2013.
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