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Quasi-sure Stochastic Analysis through Aggregation
9 references·16 citing·31 second hop
Quasi-sure Stochastic Analysis through Aggregation (2011)Quasi-sure Stochastic Analysis through Ag…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…Martingale representation theorem for the G -expectation (2010)Martingale representation the…Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Second‐order backward stochas…A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)A theoretical framework for t…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…On pathwise stochastic integration (1995)On pathwise stochastic integr…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Robust pricing–hedging dualities in continuous time (2018)Robust pricing–hedging dualit…Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (2018)Robust Markowitz mean‐varianc…Dynamic programming approach to principal–agent problems (2017)Dynamic programming approach …The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2016)The maximum maximum of a mart…Moral Hazard in Dynamic Risk Management (2016)Moral Hazard in Dynamic Risk …Pathwise construction of stochastic integrals (2015)Pathwise construction of stoc…Nonlinear Lévy processes and their characteristics (2015)Nonlinear Lévy processes and …Financial markets with volatility uncertainty (2014)Financial markets with volati…Superreplication under volatility uncertainty for measurable claims (2013)Superreplication under volati…ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (2013)ROBUST UTILITY MAXIMIZATION I…Random $G$-expectations (2013)Random $G$-expectationsDual formulation of second order target problems (2013)Dual formulation of second or…Constructing sublinear expectations on path space (2013)Constructing sublinear expect…Ambiguous volatility, possibility and utility in continuous time (2013)Ambiguous volatility, possibi…Superhedging and Dynamic Risk Measures under Volatility Uncertainty (2012)Superhedging and Dynamic Risk…Optimal arbitrage under model uncertainty (2011)Optimal arbitrage under model…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Mean field games (2007)Martingales and arbitrage in multiperiod securities markets (1979)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Backward Stochastic Differential Equations in Finance (1997)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Limit Theorems for Stochastic Processes (2003)A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)Arbitrage and duality in nondominated discrete-time models (2015)Calcul Stochastique et Problèmes de Martingales (1979)Stochastic Integration and $L^p$-Theory of Semimartingales (1981)Stochastic Integration and Differential Equations : A New Approach (2014)Methods of Mathematical Finance (1998)Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I (2016)Monte Carlo Methods in Financial Engineering (2003)Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Martingale optimal transport and robust hedging in continuous time (2013)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Some properties on G-evaluation and its applications to G-martingale decomposition (2011)Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion (2013)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
  • 2011Wellposedness of second order backward SDEs289 cited
  • 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs239 cited
  • 2010Martingale representation theorem for the G -expectation201 cited
  • 1995On pathwise stochastic integration177 cited

Cited by

  • 2013Dual formulation of second order target problems148 cited
  • 2013Ambiguous volatility, possibility and utility in continuous time148 cited
  • 2013Constructing sublinear expectations on path space136 cited
  • 2017Dynamic programming approach to principal–agent problems126 cited
  • 2013Superreplication under volatility uncertainty for measurable claims101 cited
  • 2014Financial markets with volatility uncertainty

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95 cited
  • 2013ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL94 cited
  • 2016Moral Hazard in Dynamic Risk Management90 cited
  • 2012Superhedging and Dynamic Risk Measures under Volatility Uncertainty82 cited
  • 2015Nonlinear Lévy processes and their characteristics77 cited
  • 2018Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix72 cited
  • 2013Random $G$-expectations71 cited
  • 2015Pathwise construction of stochastic integrals67 cited
  • 2018Robust pricing–hedging dualities in continuous time60 cited
  • 2016The maximum maximum of a martingale with given $\mathbf{n}$ marginals57 cited
  • 2011Optimal arbitrage under model uncertainty55 cited