Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths (Q623470): Difference between revisions

The authors give some basic and important properties of several typical Banach spaces of functions of \(G\)-Brownian motion paths induced by a sublinear expectation, called \(G\)-expectation. To this end, upper expectation and the related capacity of a family of probability measures is analyzed carefully. A generalized version of the well known Kolmogorov's-Centsov theorem is proved along the way. Concrete characterizations of completions of different function spaces are given. A possible field for applications of the results is continuous time dynamic and coherent risk measures in finance, in particular, for path-dependence risky positions under situations of volatility model uncertainty. In this context, the \(G\)-expectation is the robust super-expectation over the family of uncertainty of classical linear expectations, depending on a parameter.