Constructing sublinear expectations on path space

DOI10.1016/J.SPA.2013.03.022zbMath1285.93104arXiv1205.2415OpenAlexW2018201955MaRDI QIDQ2447703

Marcel Nutz, Ramon van Handel

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.2415

zbMATH Keywords

dynamic programmingtime-consistency\(G\)-expectationanalytic setsublinear expectationoptional samplingrandom \(G\)-expectation

Mathematics Subject Classification ID

Classes of sets (Borel fields, (sigma)-rings, etc.), measurable sets, Suslin sets, analytic sets (28A05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Properties of hitting times for \(G\)-martingales and their applications
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Weak approximation of \(G\)-expectations
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Stochastic integration and \(L^ p-\)theory of semimartingales
• Stochastic optimal control. The discrete time case
• Dual formulation of second order target problems
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Superhedging and Dynamic Risk Measures under Volatility Uncertainty
• On some classical problems of descriptive set theory
• Stochastic finance. An introduction in discrete time

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