Showing 1 - 10 of 31
In this paper, we study the backward stochastic differential equations driven by a G-Brownian motion (Bt)t≥0 in the following form: Yt=ξ+∫tTf(s,Ys,Zs)ds+∫tTg(s,Ys,Zs)d〈B〉s−∫tTZsdBs−(KT−Kt), where K is a decreasing G-martingale. Under Lipschitz conditions of f and g in Y and Z,...
Persistent link: https://www.econbiz.de/10011065041
In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed by a general linear stochastic differential equation (SDE) driven by G-Brownian motion. Utilizing the recently...
Persistent link: https://www.econbiz.de/10010631274
A terminal perturbation method is introduced to study the backward approach to continuous time mean-variance portfolio selection with bankruptcy prohibition in a complete market model. Using Ekeland's variational principle, we obtain a necessary condition, i.e. the stochastic maximum principle,...
Persistent link: https://www.econbiz.de/10008875697
This paper investigates the relationships between coherent (convex) risk measures and Choquet expectations under the g-expectations framework. We deduce that convex risk measures can be dominated by Choquet expectations if, and only if they are coherent risk measures.
Persistent link: https://www.econbiz.de/10005259105
This paper proposes some new classes of risk measures, which are not only comonotonic subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order. We give their representations in terms of Choquet integrals w.r.t. distorted probabilities, and show that if the...
Persistent link: https://www.econbiz.de/10008521294
In this article, we consider the properties of hitting times for G-martingales and the stopped processes. We prove that the stopped processes for G-martingales are still G-martingales and that the hitting times for a class of G-martingales including one-dimensional G-Brownian motion are...
Persistent link: https://www.econbiz.de/10009146659
In this paper, we study a functional fully coupled forward–backward stochastic differential equation (FBSDE). For this functional FBSDE, the classical Lipschitz and monotonicity conditions which guarantee the existence and uniqueness of the solution to FBSDE are no longer applicable. To...
Persistent link: https://www.econbiz.de/10011208306
This paper formulates a model of utility for a continuous time frame-work that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules...
Persistent link: https://www.econbiz.de/10011183676
This paper formulates a model of utility for a continuous time framework that captures the decision-maker’s concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a significant departure from existing continuous time...
Persistent link: https://www.econbiz.de/10010875293
This paper solves an optimal insurance design problem in which both the insurer and the insured are subject to Knightian uncertainty about the loss distribution. The Knightian uncertainty is modeled in a multi-prior g-expectation framework. We obtain an endogenous characterization of the optimal...
Persistent link: https://www.econbiz.de/10010993501