| Título: | Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces |
| Autores: | Cohen, Samuel; University of Oxford |
| Fecha: | 2012-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
sublinear expectation; capacity; aggregation; dual representation 60A10; 60A86; 91B06 |
| Descripción: | 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. |
| Idioma: | Inglés |
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