Corrects gaps in earlier papers on 2BSDEs with reflections.
problem Gaps in earlier papers on 2BSDEs with reflections.
method Corrects gaps and provides insights on 2RBSDEs properties.
result Corrected gaps in earlier papers and provided insights.
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4 results for “G-framework”
We study time consistent dynamic pricing mechanisms of European contingent claims under uncertainty by using G framework introduced by Peng ([24]). We consider a financial market consisting of a riskless asset and a risky stock with price process modelled by a geometric generalized G-Brownian motion, which features the…
Study explores robust Orlicz spaces in finance, showing separability implications.
problem Understanding robustness in financial and economic contexts.
method Distinguished two constructions of robust Orlicz spaces: top-down and bottom-up.
result Separability of robust Orlicz spaces has strong implications for dominatedness and order completeness.
G-framework is presented by Peng [41] for measure risk under uncertainty. In this paper, we define fractional G-Brownian motion (fGBm). Fractional G-Brownian motion is a centered G-Gaussian process with zero mean and stationary increments in the sense of sub-linearity with Hurst index . This process has sta…