Random \(G\)-expectations

DOI10.1214/12-AAP885zbMath1273.93178arXiv1009.2168MaRDI QIDQ373831

Marcel Nutz

Publication date: 25 October 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.2168

zbMATH Keywords

risk measuretime-consistency\(G\)-expectationvolatility uncertaintystochastic domain

Mathematics Subject Classification ID

Related Items (22)

Moral hazard under ambiguity ⋮ Hyperfinite construction of G-expectation ⋮ Reduced-form setting under model uncertainty with non-linear affine intensities ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ Non-Markovian impulse control under nonlinear expectation ⋮ Time-consistent stopping under decreasing impatience ⋮ Nonlinear continuous semimartingales ⋮ Backward nonlinear expectation equations ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Ambiguous volatility, possibility and utility in continuous time ⋮ Optimal arbitrage under model uncertainty ⋮ A stochastic recursive optimal control problem under the G-expectation framework ⋮ Hedging with small uncertainty aversion ⋮ Martingale problem under nonlinear expectations ⋮ UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME ⋮ Transport plans with domain constraints ⋮ Robust superhedging with jumps and diffusion ⋮ Nonlinear Lévy processes and their characteristics ⋮ New formulations of ambiguous volatility with an application to optimal dynamic contracting ⋮ ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL ⋮ Uncertain Volatility Models with Stochastic Bounds ⋮ Arbitrage and duality in nondominated discrete-time models

Cites Work

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• Stochastic integration and \(L^ p-\)theory of semimartingales
• Dual formulation of second order target problems
• Nonlinear expectations and nonlinear Markov chains
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Superhedging and Dynamic Risk Measures under Volatility Uncertainty
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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