1. Conditional nonlinear expectations.
- Author
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Bartl, Daniel
- Subjects
- *
CONDITIONAL expectations , *CONVEX sets , *ANALYTIC functions , *SET-valued maps , *CONTINUOUS functions , *PROBABILITY theory , *DYNAMIC programming - Abstract
Let Ω be a Polish space with Borel σ -field F and countably generated sub σ -field G ⊂ F. Denote by L (F) the set of all bounded F -upper semianalytic functions from Ω to the reals and by L (G) the subset of G -upper semianalytic functions. Let E (⋅ | G) : L (F) → L (G) be a sublinear increasing functional which leaves L (G) invariant. It is shown that there exists a G -analytic set-valued mapping P G from Ω to the set of probabilities which are concentrated on atoms of G with compact convex values such that E (X | G) (ω) = sup P ∈ P G (ω) E P [ X ] if and only if E (⋅ | G) is pointwise continuous from below and continuous from above on the continuous functions. Further, given another sublinear increasing functional E (⋅) : L (F) → R which leaves the constants invariant, the tower property E (⋅) = E (E (⋅ | G)) is characterized via a pasting property of the representing sets of probabilities, and the importance of analytic functions is explained. Finally, it is characterized when a nonlinear version of Fubini's theorem holds true and when the product of a set of probabilities and a set of kernels is compact. [ABSTRACT FROM AUTHOR]
- Published
- 2020
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