Article ID Journal Published Year Pages File Type
1155774 Stochastic Processes and their Applications 2011 23 Pages PDF
Abstract

This paper considers the nonlinear theory of GG-martingales as introduced by Peng (2007) in [16] and [17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in Soner et al. (2009) [20] for the second-order stochastic target problems and the second-order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a market with an uncertain volatility.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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