Speaker: Triet Pham, Department of Mathematics - Rutgers University
ABSTRACT
We introduce a nonlinear expectation $cE$ induced by a two person zero-sum stochastic differential game. $cE$ is motivated by the notion of the G-Expectation, introduced by Peng. By studying the stochastic differential game under the appropriate framework, we show that $cE$ is well-defined and time consistent. The notion of a $cE$-martingale is defined in a natural way and its characterization is given. Finally, we show in an appropriate sense that $cE$ is dominated by the G-Expectation. We give a conjecture on characterizing all such dominated nonlinear expectations. This is joint work with Jianfeng Zhang.