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...
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | Journal article |
| اللغة: | English |
| منشور في: |
2012
|