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The corresponding dynamically consistent nonlinear evaluation ({mathcal{E}}^{g}[cdot]) satisfies: for each (0leq sleq tleq T), (lambdageq0), and ({mathcal{F}}_{t}) measurable simple function X, {mathcal{E}}^{g}_{s,t}[lambda X]=lambda{ mathcal{E}}^{g}_{s,t}[X] quad textit{a.s.}.
The corresponding dynamically consistent nonlinear evaluations ({mathcal{E}}^{g}[cdot]) and ({mathcal {E}}^{overline{g}}[cdot]) satisfy, for each (0leq sleq tleq T) and ({mathcal{F}}_{t}) measurable simple function X, {mathcal{E}}^{g}_{s,t}[X]geq{mathcal{E}}^{overline{g}}_{s,t}[X] quad textit{a.s.}.
The corresponding dynamically consistent nonlinear evaluation ({mathcal{E}}^{g}[cdot]) satisfies: for each (0leq sleq tleq T), ({mathcal{F}}_{t}) measurable simple function X and (yinmathcal{R}), {mathcal{E}}^{g}_{s,t}[X+y]={mathcal{E}}^{g}_{s,t}[X]+yquad textit{a.s.}.
The corresponding dynamically consistent nonlinear evaluation ({mathcal{E}}^{g}[cdot]) is positively homogeneous: for each (0leq sleq tleq T), (lambdageq0), and (Xin{mathcal{L}}({mathcal{F}}_{t})), {mathcal{E}}^{g}_{s,t}[lambda X]=lambda{ mathcal{E}}^{g}_{s,t}[X]quad textit{a.s.}.
The corresponding dynamically consistent nonlinear evaluation ({mathcal{E}}^{g}[cdot]) satisfies: for each (0leq sleq tleq T) and ({mathcal{F}}_{t}) measurable simple functions X and (overline{X}), {mathcal{E}}^{g}_{s,t}[X+overline{X}]leq geq), { mathcal{E}}^{g}_{s,t}[X] +{mathcal{E}}^{g}_{s,t}[ overline{X}] quad textit{a.s.}.
The corresponding dynamically consistent nonlinear evaluation ({mathcal{E}}^{g}[cdot]) is sub-additive (super-additive): for each (0leq sleq tleq T) and X, (overline{X}in{mathcal{L}}({mathcal{F}}_{t})), {mathcal{E}}^{g}_{s,t}[X+overline{X}]leq geq), { mathcal{E}}^{g}_{s,t}[X] +{mathcal{E}}^{g}_{s,t}[ overline{X}] quad textit{a.s.}.
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Justyna Jupowicz-Kozak
CEO of Professional Science Editing for Scientists @ prosciediting.com