Random G-expectations
dc.contributor.author
Nutz, Marcel
dc.date.accessioned
2020-09-28T10:12:57Z
dc.date.available
2017-06-09T08:28:37Z
dc.date.available
2020-09-28T10:12:57Z
dc.date.issued
2010-09-11
dc.identifier.uri
http://hdl.handle.net/20.500.11850/27497
dc.description.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.
en_US
dc.language.iso
en
en_US
dc.publisher
Cornell University
en_US
dc.subject
G-expectation
en_US
dc.subject
volatility uncertainty
en_US
dc.subject
stochastic domain
en_US
dc.subject
risk measure
en_US
dc.subject
time-consistency
en_US
dc.title
Random G-expectations
en_US
dc.type
Working Paper
ethz.journal.title
arXiv
ethz.pages.start
1009.2168
en_US
ethz.size
24 p.
en_US
ethz.identifier.arxiv
1009.2168
ethz.publication.place
Ithaca, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-09T08:28:52Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d7abea3593462
ethz.ecitpid
pub:46339
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-12T11:44:53Z
ethz.rosetta.lastUpdated
2021-02-15T17:37:16Z
ethz.rosetta.versionExported
true
ethz.COinS
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Working Paper [5652]