Extended conditional G-expectations and related stopping times
From MaRDI portal
Publication:2671652
Abstract: In this paper we extend the definition of time conditional G-expectations to a larger domain on which the dynamical consistency still holds. In fact we can consistently define, by taking the limit, the time conditional expectations for each random variable which is the downward limit (resp. upward limit) of a monotone sequence in . To accomplish this procedure, some careful analysis is needed. Moreover, we give a suitable definition of stopping times and obtain the optional stopping theorem. We also provide some basic and interesting properties for the extended conditional G-expectations.
Recommendations
Cites work
- G-expectation, G-Brownian motion and related stochastic calculus of Itô type
- \(G\)-Lévy processes under sublinear expectations
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Constructing sublinear expectations on path space
- Exit times for semimartingales under nonlinear expectation
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Law of large numbers and central limit theorem under nonlinear expectations
- Martingale representation theorem for the \(G\)-expectation
- Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Optimal stopping under adverse nonlinear expectation and related games
- Properties of hitting times for G-martingales and their applications
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
Cited in
(19)- Existence and stability of solutions to non-linear neutral stochastic functional differential equations in the framework of G-Brownian motion
- Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
- Martingale inequalities under \(G\)-expectation and their applications
- Reduced-form framework under model uncertainty
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty
- Reduced-form framework for multiple ordered default times under model uncertainty
- A conditional variance for g-expectation
- Some properties and convergence theorems of conditional g-expectation
- scientific article; zbMATH DE number 1116674 (Why is no real title available?)
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Wellposedness of reflected G-BSDEs
- Multi-dimensional G-backward stochastic differential equations with random horizon
- Irreversible consumption habit under ambiguity: singular control and optimal G-stopping time
- Relationship between stochastic maximum principle and dynamic programming principle under convex expectation
- Maximum principle for stochastic optimal control problem under convex expectation
- Optimal stopping under G-expectation
- A G-BSDE approach to the long-term decomposition of robust pricing kernels
- Infinite horizon quadratic backward stochastic differential equations driven by G-Brownian motion
- Generative adversarial network stopping for robust surrendering
This page was built for publication: Extended conditional \(G\)-expectations and related stopping times
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2671652)
