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Backward stochastic differential equations driven byG-Brownian motion

Published:2014-01 Issue:1 Volume:124 Page:759-784
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Hu Mingshang,Ji Shaolin,Peng Shige,Song Yongsheng

Funder

National Natural Science Foundation of China

NSF

Shandong Province

NCMIS

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference27 articles.

1. Pricing and hedging derivative securities in markets with uncertain volatilities;Avellaneda;Appl. Math. Finance,1995

2. Conjugate convex functions in optimal stochastic control;Bismut;J. Math. Anal. Appl.,1973

3. Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion pathes;Denis;Potential Anal.,2011

4. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty;Denis;Ann. Appl. Probab.,2006

5. On viscosity solutions of path dependent PDEs;Ekren;Ann. Probab.,2013

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