The PDF file you selected should load here if your Web browser has a PDF reader plug-in installed (for example, a recent version of Adobe Acrobat Reader).

Alternatively, you can also download the PDF file directly to your computer, from where it can be opened using a PDF reader. To download the PDF, click the Download link below.

If you would like more information about how to print, save, and work with PDFs, Highwire Press provides a helpful Frequently Asked Questions about PDFs.

Download this PDF file Fullscreen Fullscreen Off

References

  • Avellaneda, M., Lévy, A., Parás, A. (1995). Pricing and hedging derivative securities in markets with uncertain volatilities, sl Applied Mathematical Finance, 2:73--88.
  • Lyons, T.J. (1995). Uncertain volatility and the risk-free synthesis of derivatives, sl Applied Mathematical Finance 2(2):117--133.
  • Dellacherie, Claude; Meyer, Paul-André. Probabilities and potential. B. Theory of martingales. Translated from the French by J. P. Wilson. North-Holland Mathematics Studies, 72. North-Holland Publishing Co., Amsterdam, 1982. xvii+463 pp. ISBN: 0-444-86526-8 MR0745449
  • Denis, Laurent; Martini, Claude. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Ann. Appl. Probab. 16 (2006), no. 2, 827--852. MR2244434
  • Galichon, A., Henry-Labordère, P., Touzi, N. (2013). A stochastic control approach to no-arbitrage bounds given marginals, with an application to Lookback options, sl Annals of Applied Probability, to appear.
  • Henry-Labordère, P., Oblój, J., Spoida, P., Touzi, N. (2012). Maximum maximum of martingales given finitely-many intermediate marginals, preprint.
  • Karandikar, Rajeeva L. On pathwise stochastic integration. Stochastic Process. Appl. 57 (1995), no. 1, 11--18. MR1327950
  • Kazi-Tani, N., Possamaï, D., Zhou, C. (2012). Second order BSDEs with jumps, part II: existence and applications, preprint, sl .
  • Neufeld, Ariel; Nutz, Marcel. Superreplication under volatility uncertainty for measurable claims. Electron. J. Probab. 18 (2013), no. 48, 14 pp. MR3048120
  • Neveu, J. Discrete-parameter martingales. Translated from the French by T. P. Speed. Revised edition. North-Holland Mathematical Library, Vol. 10. North-Holland Publishing Co., Amsterdam-Oxford; American Elsevier Publishing Co., Inc., New York, 1975. viii+236 pp. MR0402915
  • Nutz, Marcel; van Handel, Ramon. Constructing sublinear expectations on path space. Stochastic Process. Appl. 123 (2013), no. 8, 3100--3121. MR3062438
  • Protter, Philip E. Stochastic integration and differential equations. Second edition. Applications of Mathematics (New York), 21. Stochastic Modelling and Applied Probability. Springer-Verlag, Berlin, 2004. xiv+415 pp. ISBN: 3-540-00313-4 MR2020294
  • Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng. Wellposedness of second order backward SDEs. Probab. Theory Related Fields 153 (2012), no. 1-2, 149--190. MR2925572
  • Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng. Quasi-sure stochastic analysis through aggregation. Electron. J. Probab. 16 (2011), no. 67, 1844--1879. MR2842089
  • Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng. Dual formulation of second order target problems. Ann. Appl. Probab. 23 (2013), no. 1, 308--347. MR3059237
  • Stroock, Daniel W.; Varadhan, S. R. Srinivasa. Multidimensional diffusion processes. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], 233. Springer-Verlag, Berlin-New York, 1979. xii+338 pp. ISBN: 3-540-90353-4 MR0532498


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.