{
  "id": "1009.2168",
  "version": "v3",
  "published": "2010-09-11T13:44:53.000Z",
  "updated": "2013-09-05T13:13:49.000Z",
  "title": "Random G-expectations",
  "authors": [
    "Marcel Nutz"
  ],
  "comment": "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",
  "doi": "10.1214/12-AAP885",
  "categories": [
    "math.PR",
    "math.OC",
    "q-fin.RM"
  ],
  "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.",
  "revisions": [
    {
      "version": "v3",
      "updated": "2013-09-05T13:13:49.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "random g-expectations",
      "volatility uncertainty",
      "optimal control formulation",
      "time-consistent sublinear expectation",
      "path-dependent control sets"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1009.2168N"
    }
  }
}