Krzystzof Paczka: G-Lévy processes: Ito calculus, jumps diffusions and robust optimal control
Krzystzof Paczka, CMA, holder et seminar med tittelen: G-Lévy processes: Ito calculus, jumps diffusions and robust optimal control
G-Lévy process is a cadlag process living in the sublinear expectation space, which exhibits both drift, volatility and jump uncertainty. The process may be regarded as mathematical formalization of the model uncertainty, which is encountered in finance.
In the talk I will present the Ito calculus for G-Lévy process with finite activity, i.e. with finite number of jumps on the finite interval. The Ito-L'evy integral, Ito formula and (FB)SDE's will be introduced. At the end of the talk I will relate the robust control of FBSDE's driven by a G-Lévy process to the standard theory via the representation theorem for sublinear expectation.