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G-Martingale Representation.pdf

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Preview of G-Martingale Representation
🔗 Source: dornsife.usc.edu
📊 Size: 308 KB
👤 Author: H. Mete Soner
⬇️ Downloads: 173

Summary

The theorem provides a hedging strategy in a market with uncertain volatility and is proved using techniques from second-order stochastic target problems and backward stochastic differential equations. The result essentially provides a complete answer to the question of representation for integrable classes defined in the context of G-expectation.

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Description

The theorem provides a hedging strategy in a market with uncertain volatility and is proved using techniques from second-order stochastic target problems and...

Technical Information

  • File Format: PDF
  • File Size: 308 KB
  • Pages: 23
  • Language: EN
  • Author: H. Mete Soner
  • Total Downloads: 173
  • Last Updated: 1 week ago

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