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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| Formatua: | Journal article |
| Hizkuntza: | English |
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2012
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