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Sublinear Expectations and Martingales in discrete time

By Samuel Cohen, Shaolin Ji and Shige Peng

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

Topics: Mathematics - Probability, 60G05, 60F15, 60A86
Year: 2011
OAI identifier: oai:arXiv.org:1104.5390
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