Random G-expectations
Probability
2013-09-06 v3 Optimization and Control
Risk Management
Abstract
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.
Cite
@article{arxiv.1009.2168,
title = {Random G-expectations},
author = {Marcel Nutz},
journal= {arXiv preprint arXiv:1009.2168},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.1214/12-AAP885 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)