Martingale representation theorem for the G-expectation
This paper considers the nonlinear theory of G-martingales as introduced by Peng (2007) in [16] and [17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in Soner et al. (2009) [20] for the second-order stochastic target problems and the second-order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a market with an uncertain volatility.
Year of publication: |
2011
|
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Authors: | Soner, H. Mete ; Touzi, Nizar ; Zhang, Jianfeng |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 2, p. 265-287
|
Publisher: |
Elsevier |
Keywords: | G-expectation G-martingale Nonlinear expectation Stochastic target problem Singular measure BSDE 2BSDE Duality |
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