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.
|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|
|Contact details of provider:|| Web page: http://arxiv.org/|