Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces

Details Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces

2011-10-12

arxiv.org/abs/1110.2592v2

Mathematics

Probability

Scientific paper

We consider coherent sublinear expectations on a measurable space, without assuming the existence of a dominating probability measure. By considering a decomposition of the space in terms of the supports of the measures representing our sublinear expectation, we give a simple construction, in a quasi-sure sense, of the (linear) conditional expectations, and hence give a representation for the conditional sublinear expectation. We also show an aggregation property holds, and give an equivalence between consistency and a pasting property of measures.

Affiliated with

Also associated with

No associations

Rating

Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-633143