Random \(G\)-expectations (Q373831)

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Random \(G\)-expectations
scientific article

    Statements

    title
    Random \(G\)-expectations (English)
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    author
    Marcel Nutz
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    publication date
    25 October 2013
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    zbMATH Keywords
    \(G\)-expectation
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    volatility uncertainty
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    stochastic domain
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    risk measure
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    time-consistency
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    Identifiers

    DOI
    10.1214/12-AAP885
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    Mathematics Subject Classification ID
    93E20
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    91B30
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    60H30
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    zbMATH DE Number
    6220085
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    arXiv ID
    1009.2168
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