Martingale Representation Theorem for the G-expectation

Details Martingale Representation Theorem for the G-expectation Martingale Representation Theorem for the G-expectation

2010-01-21

arxiv.org/abs/1001.3802v2

Mathematics

Probability

Scientific paper

10.1016/j.spa.2010.10.006

This paper considers the nonlinear theory of G-martingales as introduced by Peng. A martingale representation theorem for this theory is proved by using the techniques and the results established in an accompanying paper for the second order stochastic target problems and the second order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a market with an uncertain volatility.

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