A complete representation theorem for G-martingales

DOI10.1080/17442508.2013.865130zbMath1337.60130arXiv1201.2629OpenAlexW2022845723MaRDI QIDQ2812014

Shige Peng, Yongsheng Song, Jianfeng Zhang

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.2629

zbMATH Keywords

nonlinear expectations\(G\)-expectationsmartingale representation theorem\(G\)-martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites Work

• Uniqueness of the representation for \(G\)-martingales with finite variation
• Wellposedness of second order backward SDEs
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Martingale representation theorem for the \(G\)-expectation
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• 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
• Martingale characterization of \(G\)-Brownian motion
• Dual formulation of second order target problems
• Constructing sublinear expectations on path space
• Superhedging and Dynamic Risk Measures under Volatility Uncertainty
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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