AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1009.2168.
Date of creation: Sep 2010
Date of revision: Sep 2013
Publication status: Published in Annals of Applied Probability 2013, Vol. 23, No. 5, 1755-1777
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- NEP-ALL-2010-09-25 (All new papers)
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