Random \(G\)-expectations

DOI10.1214/12-AAP885zbMath1273.93178arXiv1009.2168MaRDI QIDQ373831

Marcel Nutz

Publication date: 25 October 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.2168

zbMATH Keywords

risk measure; time-consistency; \(G\)-expectation; volatility uncertainty; stochastic domain

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

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