Martingale representation theorem for the G-expectation

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Soner, H. Mete^1,2  Touzi, Nizar³  Zhang, Jianfeng⁴ 

[1] ETH, Swiss Fed Inst Technol, Zurich, Switzerland

[2] Swiss Finance Inst, Zurich, Switzerland

[3] Ecole Polytech, CMAP, F-75230 Paris, France

[4] Univ So Calif, Dept Math, Los Angeles, CA 90089 USA

关键词: G-expectation;    G-martingale;    Nonlinear expectation;    Stochastic target problem;    Singular measure;    BSDE;    2BSDE;    Duality;   

DOI  :  10.1016/j.spa.2010.10.006

来源: Elsevier

【 摘 要 】

This paper considers the nonlinear theory of G-martingales as introduced by Peng (2007) in [16,17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in Soner et al. (2009) [20] for the second-order stochastic target problems and the second-order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a market with an uncertain volatility. (c) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

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