Random G-expectations

Published 11 Sep 2010 in math.PR, math.OC, and q-fin.RM | (1009.2168v3)

Abstract: We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by allowing the range of the volatility uncertainty to be stochastic. Our construction is purely probabilistic and based on an optimal control formulation with path-dependent control sets.

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Authors (1)

Marcel Nutz

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