G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty
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Publication:2336966
DOI10.1155/2015/910809zbMath1435.91183arXiv1401.0677OpenAlexW1922623744WikidataQ59112070 ScholiaQ59112070MaRDI QIDQ2336966
Publication date: 19 November 2019
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.0677
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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