We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G … as a Donsker-type result for the G-Brownian motion. G-expectation, volatility uncertainty, weak limit theorem …

a mixture stochastic volatility model providing a tractable method for capturing certain market characteristics. To … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …

markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for …-White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility …