Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces (Q424490)

It was proved by \textit{F. Coquet, Y. Hu, J. Mémin} and \textit{S. Peng} in [Probab. Theory Relat. Fields 123, No. 1, 1--27 (2002; Zbl 1007.60057)] that every nonlinear expectation satisfying a certain domination assumption must solve a backward stochastic differential equation (BSDE) when the filtration is generated by a Brownian motion. The author extends this property to filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Here, the BSDEs have Lipschitz continuous drivers, both the martingale and the driver terms are permitted to jump, and the martingale representation is infinite-dimensional. The domination assumption guarantees that the induced driver of the BSDE exists and that a comparison theorem will hold. The nonlinear Doob-Meyer decomposition of S. Peng is extended to this general case.