G-Expectation for General Random Variables
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Fri, 09/03/2012 14:15 |
Marcel Nutz (Columbia) |
Nomura Seminar  |
DH 1st floor SR |
| We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. In particular, we construct the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable. | |||