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Sublinear Expectations for Countable-State Uncertain Processes

Sublinear expectations for uncertain processes have received a lot of attention recently, particularly methods to extend a downward-continuous sublinear expectation on the bounded finitary functions to one on the non-finitary functions. In most of the approaches the domain of the extension is not very rich because it is limited to bounded measurable functions on the set of all paths. This contribution alleviates this problem in the countable-state case by extending, under a mild condition, to the extended real measurable functions on the set of càdlàg paths, and investigates when a sublinear Markov semigroup induces a sublinear expectation that satisfies this mild condition.