Duality and General Equilibrium Theory Under Knightian Uncertainty
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Publication:4635253
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Cites work
- scientific article; zbMATH DE number 1154013 (Why is no real title available?)
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Ambiguous volatility, possibility and utility in continuous time
- Approximation for option prices under uncertain volatility
- Arbitrage and duality in nondominated discrete-time models
- Arbitrage and the Existence of Competitive Equilibrium
- Dynamic variational preferences
- Ensembles analytiques, capacites, mesures de Hausdorff
- Equilibrium prices and trade under ambiguous volatility
- Espaces de Sobolev gaussiens. (Gaussian Sobolev spaces)
- Financial markets with volatility uncertainty
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Infinite dimensional analysis. A hitchhiker's guide.
- Martingales and arbitrage in multiperiod securities markets
- Maxmin expected utility with non-unique prior
- Optimal investment under model uncertainty in nondominated models
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Quasi-continuous random variables and processes under the \(G\)-expectation framework
- Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- The Impact of Uncertainty Shocks
- Theory of capacities
- Uniform Central Limit Theorems
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
Cited in
(6)- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
- Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
- Financial economics without probabilistic prior assumptions
- A no-trade theorem under Knightian uncertainty with general preferences
- Arbitrage-free modeling under Knightian uncertainty
- The existence and efficiency of general equilibrium with incomplete markets under Knightian uncertainty
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