2012/05/31 by Marcel Nutz, Ramon van Handel · 137 citations
Computer Science · Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Bayesian Modeling and Causal Inference #Borel set #Combinatorics #Computer science #Conditional expectation #Discrete mathematics #Econometrics #Fuzzy Systems and Optimization #Generalization #Mathematical analysis #Mathematics #Path (computing) #Pure mathematics #Random variable #Risk and Portfolio Optimization #Set (abstract data type) #Space (punctuation) #Statistics #Sublinear function #math.OC #math.PR #msc:28A05 #msc:60H30 #msc:91B30 #msc:93E20 #q-fin.RM
paper · pdf · doi:10.1016/j.spa.2013.03.022
published in Stochastic Processes and their Applications 123(8), 3100-3121 (Elsevier BV) · 28 pages; forthcoming in 'Stochastic Processes and their Applications'
arxiv created 2013/04/11 · openalex publication_date 2013/04/17 · arxiv updated 2015/02/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
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.