Random G-Expectations

Details Random G-Expectations Random G-Expectations

2010-09-11

arxiv.org/abs/1009.2168v1

Mathematics

Probability

25 pages

Scientific paper

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.

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