We introduce a new type of robust forward criterion under model uncertainty,called the G-forward performance process,which extends the classical notion of forward performance process to the G-expectation framework.We ...We introduce a new type of robust forward criterion under model uncertainty,called the G-forward performance process,which extends the classical notion of forward performance process to the G-expectation framework.We then derive the representations of homothetic G-forward performance processes in a single stochastic factor model with uncertainty,building on the well-posedness of ergodic and infinite horizon backward stochastic differential equations driven by G-Brownian motion(G-BSDEs)with quadratic generators.展开更多
基金The research of Falei Wang is supported by the National Natural Science Foundation of China(Grant Nos.12171280 and 12031009)the Natural Science Foundation of Shandong Province(Grant Nos.ZR2021YQ01 and ZR2022JQ01)the National Key Research&Development Program of China(Grant No.2018YFA0703900).
文摘We introduce a new type of robust forward criterion under model uncertainty,called the G-forward performance process,which extends the classical notion of forward performance process to the G-expectation framework.We then derive the representations of homothetic G-forward performance processes in a single stochastic factor model with uncertainty,building on the well-posedness of ergodic and infinite horizon backward stochastic differential equations driven by G-Brownian motion(G-BSDEs)with quadratic generators.
基金Supported by the National Natural Science Foundation of China(11671404,11571369)the Provincial Natural Science Foundation of Hunan(2017JJ3405)the Yu Ying Project of Central South University
