Pathwise convergence under Knightian uncertainty

DOI10.1016/J.JMAA.2022.126683OpenAlexW4295681456MaRDI QIDQ2084885FDOQ2084885

Authors: Bahar Akhtari 

Publication date: 13 October 2022

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2022.126683

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zbMATH Keywords

Knightian uncertaintyquasi-surely convergencesplit-step backward Euler

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Stochastic processes (60Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

Cites Work

• Pricing and hedging derivative securities in markets with uncertain volatilities
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
• Constructing sublinear expectations on path space
• Quasi-sure stochastic analysis through aggregation
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• Robust fundamental theorem for continuous processes
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Superhedging and dynamic risk measures under volatility uncertainty
• The pathwise convergence of approximation schemes for stochastic differential equations
• On the pathwise approximation of stochastic differential equations
• Numerical simulations for \(G\)-Brownian motion
• The split-step backward Euler method for linear stochastic delay differential equations
• Numerical schemes for \(G\)-expectations
• Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
• Higher order pathwise numerical approximations of SPDEs with additive noise
• An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence
• Affine processes under parameter uncertainty
• Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
• Exit times for semimartingales under nonlinear expectation

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