Martingale problem under nonlinear expectations

DOI10.1007/s11579-017-0196-xzbMath1391.60094arXiv1211.2869OpenAlexW1540550888MaRDI QIDQ1744199

Xin Guo, Chen Pan, Shige Peng

Publication date: 16 April 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.2869

zbMATH Keywords

fully nonlinear PDEnonlinear martingale problem(conditional) nonlinear expectationweak solution to \(G\)-SDE

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Existence theories for free problems in two or more independent variables (49J10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Reduced-form framework for multiple ordered default times under model uncertainty, Non-linear affine processes with jumps, Nonlinear continuous semimartingales, Backward nonlinear expectation equations, Reduced-form framework under model uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Random \(G\)-expectations
• Quasi-sure stochastic analysis through aggregation
• Wellposedness of second order backward SDEs
• Martingale representation theorem for the \(G\)-expectation
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Martingale property and capacity under \(G\)-framework
• Representation of the penalty term of dynamic concave utilities
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Continuous-time stochastic control and optimization with financial applications
• On a non-linear semi-group attached to stochastic optimal control
• Convex measures of risk and trading constraints
• Girsanov's formula for \(G\)-Brownian motion
• Ambiguous volatility, possibility and utility in continuous time
• Nonlinear expectations and nonlinear Markov chains
• Risk measures via \(g\)-expectations
• Coherent Measures of Risk
• A complete representation theorem for G-martingales
• A Girsanov Type Theorem Under G-Framework
• Backward stochastic differential equations and integral-partial differential equations
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• One Dimensional Stochastic Differential Equations with No Strong Solution
• User’s guide to viscosity solutions of second order partial differential equations
• An Example of a Stochastic Differential Equation Having No Strong Solution
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• Dynamic Risk Measures
• Diffusion processes with continuous coefficients, I