Representation for filtration-consistent nonlinear expectations under a general domination condition

2015/02/05 by Shiqiu Zheng, Zheng, Shiqiu, Shoumei Li +1
Computer Science · Economics, Econometrics and Finance · Medicine · #Economic theories and models #FOS: Mathematics #Mathematical and Theoretical Epidemiology and Ecology Models #Optimization and Variational Analysis #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.1502.01620

openalex publication_date 2015/02/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we consider filtration-consistent nonlinear expectations which satisfy a general domination condition (dominated by \calE^ϕ). We show that this kind of nonlinear expectations can be represented by g-expectations defined by the solutions of backward stochastic differential equations, whose generators are independent on y and uniformly continuous in z.

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