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2012 Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
Samuel Cohen
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Electron. J. Probab. 17: 1-15 (2012). DOI: 10.1214/EJP.v17-2224

Abstract

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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Samuel Cohen. "Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces." Electron. J. Probab. 17 1 - 15, 2012. https://doi.org/10.1214/EJP.v17-2224

Information

Accepted: 6 August 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1256.60004
MathSciNet: MR2959068
Digital Object Identifier: 10.1214/EJP.v17-2224

Subjects:
Primary: 60A10
Secondary: 60A86, 91B06

JOURNAL ARTICLE
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Vol.17 • 2012
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