Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces

Author: 

Cohen, S

Publication Date: 

15 August 2012

Journal: 

Electronic Journal of Probability

Last Updated: 

2021-04-13T20:06:24.957+01:00

Volume: 

17

DOI: 

10.1214/EJP.v17-2224

abstract: 

We consider coherent sublinear expectations on a measurable space, without assuming the existence of a dominating probability measure. By considering a decomposition of the space in terms of the supports of the measures representing our sublinear expectation, we give a simple construction, in a quasi-sure sense, of the (linear) conditional expectations, and hence give a representation for the conditional sublinear expectation. We also show an aggregation property holds, and give an equivalence between consistency and a pasting property of measures.

Symplectic id: 

349155

Submitted to ORA: 

Not Submitted

Publication Type: 

Journal Article