Seminar series
Date
Thu, 02 Feb 2012
13:00
13:00
Location
DH 1st floor SR
Speaker
Sam Cohen
Decision making in the presence of uncertainty is a mathematically delicate topic. In this talk, we consider coherent sublinear expectations on a measurable space, without assuming the existence of a dominating probability measure. By considering discrete-time `martingale' processes, we show that the classical results of martingale convergence and the up/downcrossing inqualities hold in a `quasi-sure' sense. We also give conditions, for a general filtration, under which an `aggregation' property holds, generalising an approach of Soner, Touzi and Zhang (2011). From this, we extend various results on the representation of conditional sublinear expectations to general filtrations under uncertainty.