Pathwise convergence under Knightian uncertainty

DOI10.1016/J.JMAA.2022.126683MaRDI QIDQ2084885zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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