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

DOI10.1016/j.spa.2011.12.004zbMath1254.60045arXiv1102.5287MaRDI QIDQ424490

Samuel N. Cohen

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.5287

zbMATH Keywords

Doob-Meyer decomposition; nonlinear expectation; BSDE

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G48: Generalizations of martingales

60H20: Stochastic integral equations

Related Items

A representation for filtration-consistent nonlinear expectations and its application, A framework of BSDEs with stochastic Lipschitz coefficients, Undiscounted Markov Chain BSDEs to Stopping Times, Markov chains under nonlinear expectation, Mean-field backward stochastic differential equations in general probability spaces, Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains, On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case, Stochastic control for a class of nonlinear kernels and applications, Gittins' theorem under uncertainty, A general comparison theorem for reflected BSDEs, Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration

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