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...
| Hoofdauteur: | |
|---|---|
| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
2012
|