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Author
Nutz, Marcel
Date
2010Type
- Working Paper
ETH Bibliography
yes
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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. Show more
Publication status
publishedPublisher
Cornell UniversitySubject
G-expectation; volatility uncertainty; stochastic domain; risk measure; time-consistencyOrganisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Notes
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ETH Bibliography
yes
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