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Analytic set 1 Dynamic programming 1 G-expectation 1 Optional sampling 1 Random G-expectation 1 Sublinear expectation 1 Time-consistency 1
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Nutz, Marcel 1 van Handel, Ramon 1
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Stochastic Processes and their Applications 1
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Constructing sublinear expectations on path space
Nutz, Marcel; van Handel, Ramon - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3100-3121
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...
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