G-forward performance process and representation of homothetic case via ergodic quadratic G-BSDE  

作　　者：Yifan Sun Falei Wang 

机构地区：[1]Department of Applied Mathematics,The Hong Kong Polytechnic University,Kowloon,Hong Kong,China [2]Zhongtai Securities Institute for Financial Studies and School of Mathematics,Shandong University,Jinan 250100,China

出　　处：《Probability, Uncertainty and Quantitative Risk》2024年第1期85-106,共22页概率、不确定性与定量风险（英文）

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).

摘　　要：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.

关 键 词：G-forward performance process Infinite horizon G-BSDE Ergodic G-BSDE 

分 类 号：O17[理学—数学]