Robust mean-variance hedging via \(G\)-expectation

DOI10.1016/J.SPA.2018.04.007zbMath1478.60191arXiv1602.05484OpenAlexW2963876025MaRDI QIDQ2419972

Thilo Meyer-Brandis, Jacopo Mancin, Francesca Biagini

Publication date: 4 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05484

zbMATH Keywords

\(G\)-expectation\(G\)-martingale representation theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (5)

Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions ⋮ Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs ⋮ Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators ⋮ An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion ⋮ \( G\)-expectation approach to stochastic ordering

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