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Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
nonlinear expectations comparison theorem nonlinear Doob-Meyer
2011/3/23
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear...
Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
nonlinear expectations comparison theorem nonlinear Doob-Meyer
2011/3/23
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear...