Conditional nonlinear expectations

Let $\mathrm{\Omega }$ be a Polish space with Borel $\sigma$-field $\mathcal{F}$ and countably generated sub $\sigma$-field $\mathcal{G}\subset \mathcal{F}$. Denote by $\mathcal{L}(\mathcal{F})$ the set of all bounded $\mathcal{F}$-upper semianalytic functions from $\mathrm{\Omega }$ to the reals and by $\mathcal{L}(\mathcal{G})$ the subset of $\mathcal{G}$-upper semianalytic functions. Let $\mathcal{E}(\cdot \mathrm{\mid }\mathcal{G})\text{\hspace{0.17em}⁣}:\mathcal{L}(\mathcal{F})\to \mathcal{L}(\mathcal{G})$ be a sublinear increasing functional which leaves $\mathcal{L}(\mathcal{G})$ invariant. It is shown that there exists a $\mathcal{G}$-analytic set-valued mapping ${\mathcal{P}}_{\mathcal{G}}$ from $\mathrm{\Omega }$ to the set of probabilities which are concentrated on atoms of $\mathcal{G}$ with compact convex values such that $\mathcal{E}(X\mathrm{\mid }\mathcal{G})(\omega )=$ ${\sup }_{P\in {\mathcal{P}}_{\mathcal{G}}(\omega )}{E}_P[X]$ if and only if $\mathcal{E}(\cdot \mathrm{\mid }\mathcal{G})$ is pointwise continuous from below and continuous from above on the continuous functions. Further, given another sublinear increasing functional $\mathcal{E}(\cdot )\text{\hspace{0.17em}⁣}:\mathcal{L}(\mathcal{F})\to \mathbb{R}$ which leaves the constants invariant, the tower property $\mathcal{E}(\cdot )=\mathcal{E}(\mathcal{E}(\cdot \mathrm{\mid }\mathcal{G}))$ 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.