RANDOM G-EXPECTATIONS

• 成果类型: Article
• 署名作者: Nutz, Marcel
• 署名单位: Columbia University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/12-AAP885
• 发表日期: 2013
• 页码: 1755-1777
• 关键词: g-brownian motion; stochastic calculus

摘要

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.