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

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 L...

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Bibliographic Details
Main Author: Cohen, SN
Format: Journal article
Language:English
Published: 2012