On the Representation Theorem of G-Expectations and Paths of G--Brownian Motion

Mingshang Hu, Shige Peng

Published 2009-04-29Version 1

We give a very simple and elementary proof of the existence of a weakly compact family of probability measures $\{P_{\theta}:\theta \in \Theta \}$ to represent an important sublinear expectation--G-expectation $\mathbb{E}[\cdot]$. We also give a concrete approximation of a bounded continuous function $X(\omega)$ by an increasing sequence of cylinder functions $L_{ip}(\Omega)$ in order to prove that $C_{b}(\Omega)$ belongs to the $\mathbb{E}[|\cdot|]$-completion of the $L_{ip}(\Omega)$.