Matches in SemOpenAlex for { <https://semopenalex.org/work/W1823786369> ?p ?o ?g. }
- W1823786369 abstract "We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimisation, over a set of possibly non-dominated probability measures, of solutions of backward stochastic differential equations (BSDEs). Since BSDEs are nonlinear generalisations of the traditional (linear) expectations, this problem can be understood as stochastic control of a family of nonlinear expectations, or equivalently of nonlinear kernels. Our first main contribution is to prove a dynamic programming principle for this control problem in an abstract setting, which we then use to provide a semi-martingale characterisation of the value function. We next explore several applications of our results. We first obtain a wellposedness result for second order BSDEs (as introduced in [86]) which does not require any regularity assumption on the terminal condition and the generator. Then we prove a nonlinear optional decomposition in a robust setting, extending recent results of [71], which we then use to obtain a super-hedging duality in uncertain, incomplete and nonlinear financial markets. Finally, we relate, under additional regularity assumptions, the value function to a viscosity solution of an appropriate path-dependent partial differential equation (PPDE)." @default.
- W1823786369 created "2016-06-24" @default.
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- W1823786369 date "2015-10-28" @default.
- W1823786369 modified "2023-10-03" @default.
- W1823786369 title "Stochastic control for a class of nonlinear kernels and applications" @default.
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