Superhedging and Dynamic Risk Measures under Volatility Uncertainty

DOI10.1137/100814925zbMath1263.91026arXiv1011.2958OpenAlexW3124307060WikidataQ57635909 ScholiaQ57635909MaRDI QIDQ3143250

Marcel Nutz, Halil Mete Soner

Publication date: 29 November 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2958

zbMATH Keywords

risk measurereplication\(G\)-expectationvolatility uncertaintytime consistencysuperhedgingsecond order BSDEnonlinear martingale

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

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