Journal title
Electronic Journal of Probability
DOI
10.1214/EJP.v17-2224
Volume
17
Last updated
2023-12-19T19:35:21.31+00:00
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
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Publication type
Journal Article
Publication date
15 Aug 2012