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...
| 第一著者: | |
|---|---|
| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
2012
|