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• W2950402772 abstract "We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a cadlag nonlinear martingale which is also the value process of a superhedging problem. The superhedging strategy is obtained from a representation similar to the optional decomposition. Furthermore, we prove an optional sampling theorem for the nonlinear martingale and characterize it as the solution of a second order backward SDE. The uniqueness of dynamic extensions of static sublinear expectations is also studied." @default.
• W2950402772 created "2019-06-27" @default.
• W2950402772 creator A5048884547 @default.
• W2950402772 creator A5050033426 @default.
• W2950402772 date "2010-11-12" @default.
• W2950402772 modified "2023-09-27" @default.
• W2950402772 title "Superhedging and Dynamic Risk Measures under Volatility Uncertainty" @default.
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