Nonlinear continuous semimartingales
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Publication:6136833
Abstract: In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path in a non-Markovian way. We provide a dynamic programming principle for the nonlinear expectation and we link the corresponding value function to a variational form of a nonlinear path-dependent partial differential equation. In particular, we establish conditions that allow us to identify the value function as the unique viscosity solution.Furthermore, we prove that the nonlinear expectation solves a nonlinear martingale problem, which confirms our interpretation as a nonlinear semimartingale.
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Cited in
(4)- A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
- Stochastic Processes under Parameter Uncertainty
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Nonlinear semimartingales and Markov processes with jumps
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