A quasi-sure approach to the control of non-Markovian stochastic differential equations

Electronic Journal of Probability

Volumn 17, Issue , 2012, Pages

  Nutz, Marcel ^a  

^a Howard Hughes Medical Institute   (United States)

Author keywords

G expectation; Non Markovian SDE; Random G expectation; Risk measure; Second order BSDE; Stochastic optimal control; Volatility uncertainty

Indexed keywords

EID: 84859098453     PISSN: None     EISSN: 10836489     Source Type: Journal    
DOI: 10.1214/EJP.v17-1892     Document Type: Article

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