Year: 2011
Type: preprint
Abstract: We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of martingales, and martingale convergence. We also give a theory of BSDEs in the context of sublinear expectations and a finite-state space, including general existence and comparison results.
Source: arXiv (Cornell University)
Authors: Cohen, Samuel, Ji, Shaolin, Peng, Shige
Institutions: University of Oxford, Shandong University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1491033373