Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces

Details Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces

2011-02-25

arxiv.org/abs/1102.5287v1

Mathematics

Probability

Scientific paper

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 Lipschitz continuous drivers, where both the martingale and the driver terms are permitted to jump, and the martingale representation is infinite dimensional. To establish this result, we show that this domination condition is sufficient to guarantee that the comparison theorem for BSDEs will hold, and we generalise the nonlinear Doob-Meyer decomposition of Peng to a general context.

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