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Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces

   
@article{EJP2224,
	author = {Samuel Cohen},
	title = {Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {17},
	year = {2012},
	keywords = {sublinear expectation; capacity; aggregation; dual representation},
	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.},
	pages = {no. 62, 1-15},
	issn = {1083-6489},
	doi = {10.1214/EJP.v17-2224},    
        url = {http://ejp.ejpecp.org/article/view/2224}}