Random G-expectations

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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Year of publication:	2010-09
Authors:	Nutz, Marcel
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Annals of Applied Probability 2013, Vol. 23, No. 5, 1755-1777
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008642654