Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155774 | Stochastic Processes and their Applications | 2011 | 23 Pages |
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)
Authors
H. Mete Soner, Nizar Touzi, Jianfeng Zhang,