Martingale problem under nonlinear expectations

DOI10.1007/s11579-017-0196-xzbMath1391.60094arXiv1211.2869OpenAlexW1540550888MaRDI QIDQ1744199

Xin Guo, Chen Pan, Shige Peng

Publication date: 16 April 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.2869

zbMATH Keywords

fully nonlinear PDEnonlinear martingale problem(conditional) nonlinear expectationweak solution to \(G\)-SDE

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Existence theories for free problems in two or more independent variables (49J10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

Reduced-form framework for multiple ordered default times under model uncertainty ⋮ Non-linear affine processes with jumps ⋮ Nonlinear continuous semimartingales ⋮ Backward nonlinear expectation equations ⋮ Reduced-form framework under model uncertainty

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