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9 papers · 2 filters
G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty
Wei Chen
The target of this paper is to establish the bid-ask pricing frame work for the American contingent claims against risky assets with G-asset price systems (see \cite{Chen2013b}) on…
Pathwise Taylor Expansions for Random Fields on Multiple Dimensional Paths
Rainer Buckdahn, Jin Ma, Jianfeng Zhang
In this paper we establish the pathwise Taylor expansions for random fields that are "regular" in the spirit of Dupire's path-derivatives \cite{Dupire}. Our result is motivated by…
Solutions for Functional Fully Coupled Forward-Backward Stochastic Differential Equations
Shaolin Ji, Shuzhen Yang
In this paper, we study a functional fully coupled forward-backward stochastic differential equations (FBSDEs). Under a new type of integral Lipschitz and monotonicity conditions,…
Extended Conditional G-Expectations and Related Stopping Times
Mingshang Hu, Shige Peng
In this paper we extend the definition of time conditional G-expectations to a larger domain on which the dynamical consistency still holds. In fact w…
Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
Peng Luo, Falei Wang
In this paper, we show that the integration of a stochastic differential equations driven by G-Brownian motion in R can be reduced to the integration of an ordinary differential eq…
Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents
Rainer Buckdahn, Juan Li, Shige Peng
The purpose of this paper is to study 2-person zero-sum stochastic differential games, in which one player is a major one and the other player is a group of minor agents which…