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

Samuel Cohen (University of Oxford)


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.

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Pages: 1-15

Publication Date: August 6, 2012

DOI: 10.1214/EJP.v17-2224


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