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.
Citation
Marcel Nutz. "Random $G$-expectations." Ann. Appl. Probab. 23 (5) 1755 - 1777, October 2013. https://doi.org/10.1214/12-AAP885
Information