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arXiv · 1009.2168

Random G-expectations

Marcel Nutz
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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.

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BibTeXRIS

Marcel Nutz. 2010-09-11. Random G-expectations. https://doi.org/10.1214/12-aap885

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