Superhedging and Dynamic Risk Measures under Volatility Uncertainty
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Publication:3143250
DOI10.1137/100814925zbMath1263.91026arXiv1011.2958WikidataQ57635909 ScholiaQ57635909MaRDI QIDQ3143250
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
risk measure; replication; \(G\)-expectation; volatility uncertainty; time consistency; superhedging; second order BSDE; nonlinear martingale
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
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