Constructing Sublinear Expectations on Path Space

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.

28 pages; forthcoming in 'Stochastic Processes and their Applications'

References in corpus (2)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Nonlinear Expectations and Stochastic Calculus under Uncertainty

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