Martingale representation theorem for the G-expectation

Metadata only

Author

Date

2011-02

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

Journal / series

Stochastic Processes and their Applications

Volume

121(2)

Pages / Article No.

265 - 287

Publisher

Elsevier

Subject

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

Organisational unit

03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)

Notes

Received 21 January 2010, Revised 7 September 2010, Accepted 19 October 2010, Available online 28 October 2010.

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