Nutz, Marcel; Soner, Halil Mete - 2010
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist … of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale … similar to the optional decomposition. Furthermore, we prove an optional sampling theorem for the nonlinear martingale and …