Constructing sublinear expectations on path space

DOI10.1016/j.spa.2013.03.022zbMath1285.93104arXiv1205.2415OpenAlexW2018201955MaRDI QIDQ2447703

Marcel Nutz, Ramon van Handel

Publication date: 28 April 2014

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

Full work available at URL: https://arxiv.org/abs/1205.2415

zbMATH Keywords

dynamic programmingtime-consistency\(G\)-expectationanalytic setsublinear expectationoptional samplingrandom \(G\)-expectation

Mathematics Subject Classification ID

Classes of sets (Borel fields, (sigma)-rings, etc.), measurable sets, Suslin sets, analytic sets (28A05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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