Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces (Q456210)
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English | Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces |
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Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces (English)
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23 October 2012
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This paper contributes to decision making in the presence of outcomes with unknown probabilities. If all possible probability measures do not agree on what events will occur with probability zero, then many difficulties arise because there is no dominating probability measure. In this context and as the centerpiece of this paper, the author uses the theory of sublinear expectations and their dual representation. The assumption of a Hahn-like decomposition property of the underlying space provides a simple means to aggregate processes with respect to each measure. The author generalizes the approach of \textit{M. H. Soner, N. Touzi} and \textit{J. Zhang} [Electron. J. Probab. 16, 1844--1879 (2011; Zbl 1245.60062)].
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sublinear expectation
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capacity
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aggregation
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dual representation
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