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

DOI10.1016/J.SPA.2011.12.004zbMATH Open1254.60045arXiv1102.5287OpenAlexW1590136961MaRDI QIDQ424490FDOQ424490

Samuel N. Cohen

Publication date: 1 June 2012

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

Abstract: We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear expectations can be expressed as the solutions to Backward Stochastic Differential Equations with Lipschitz continuous drivers, where both the martingale and the driver terms are permitted to jump, and the martingale representation is infinite dimensional. To establish this result, we show that this domination condition is sufficient to guarantee that the comparison theorem for BSDEs will hold, and we generalise the nonlinear Doob-Meyer decomposition of Peng to a general context.

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

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zbMATH Keywords

Doob-Meyer decompositionnonlinear expectationBSDE

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cited In (16)

• Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
• On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
• Markov chains under nonlinear expectation
• Stochastic control for a class of nonlinear kernels and applications
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Undiscounted Markov Chain BSDEs to Stopping Times
• Title not available (Why is that?)
• On the integral representation of \(g\)-expectations with terminal constraints
• Mean-field backward stochastic differential equations in general probability spaces
• On \(g\)-expectations and filtration-consistent nonlinear expectations
• A general comparison theorem for reflected BSDEs
• A representation for filtration-consistent nonlinear expectations and its application
• Representation of filtration-consistent nonlinear expectation by g-expectation in general framework
• A framework of BSDEs with stochastic Lipschitz coefficients
• Gittins' theorem under uncertainty

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