Random \(G\)-expectations
From MaRDI portal
Publication:373831
DOI10.1214/12-AAP885zbMath1273.93178arXiv1009.2168MaRDI QIDQ373831
Publication date: 25 October 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.2168
Related Items
Moral hazard under ambiguity, Hyperfinite construction of G-expectation, Reduced-form setting under model uncertainty with non-linear affine intensities, Robust utility maximization with nonlinear continuous semimartingales, Non-Markovian impulse control under nonlinear expectation, Time-consistent stopping under decreasing impatience, Nonlinear continuous semimartingales, Backward nonlinear expectation equations, A risk-neutral equilibrium leading to uncertain volatility pricing, Ambiguous volatility, possibility and utility in continuous time, Optimal arbitrage under model uncertainty, A stochastic recursive optimal control problem under the G-expectation framework, Hedging with small uncertainty aversion, Martingale problem under nonlinear expectations, UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME, Transport plans with domain constraints, Robust superhedging with jumps and diffusion, Nonlinear Lévy processes and their characteristics, New formulations of ambiguous volatility with an application to optimal dynamic contracting, ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL, Uncertain Volatility Models with Stochastic Bounds, Arbitrage and duality in nondominated discrete-time models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Wellposedness of second order backward SDEs
- Adapted solution of a backward stochastic differential equation
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- On the uniform continuity of Tietze extensions
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Stochastic integration and \(L^ p-\)theory of semimartingales
- Dual formulation of second order target problems
- Nonlinear expectations and nonlinear Markov chains
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Superhedging and Dynamic Risk Measures under Volatility Uncertainty
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs