Random G-expectations

Marcel Nutz

Papers from arXiv.org

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.

Date: 2010-09, Revised 2013-09
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Citations: View citations in EconPapers (23)

Published in Annals of Applied Probability 2013, Vol. 23, No. 5, 1755-1777

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