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Constructing Sublinear Expectations on Path Space

  • Marcel Nutz
  • Ramon van Handel
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    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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    Paper provided by in its series Papers with number 1205.2415.

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    Date of creation: May 2012
    Date of revision: Apr 2013
    Publication status: Published in Stoch. Proc. Appl. 123, 3100-3121 (2013)
    Handle: RePEc:arx:papers:1205.2415
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    1. Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958,, revised Jun 2012.
    2. Marcel Nutz, 2010. "Random G-expectations," Papers 1009.2168,, revised Sep 2013.
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