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arXiv:1009.2168 [math.PR]AbstractReferencesReviewsResources

Random G-expectations

Marcel Nutz

Published 2010-09-11, updated 2013-09-05Version 3

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.

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)
Journal: Annals of Applied Probability 2013, Vol. 23, No. 5, 1755-1777
Categories: math.PR, math.OC, q-fin.RM
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