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Hyperfinite construction of G-expectation

We prove a lifting theorem, in the sense of Robinsonian nonstandard analysis, for the G-expectation. Herein, we use an existing discretization theorem for the G-expectation by T. Fadina and F. Herzberg (Bielefeld University, Center for Mathematical Economics Working Papers, 503, (2014)).
Year of publication:
2015-03
Authors: Fadina, Tolulope ; Herzberg, Frederik
Institutions: Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
Subject: G-expectation | Volatility uncertainty | Lifting theorem | Robinsonian Nonstandard analysis | Hyperfinite discretization
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application/pdf
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Type of publication: Book / Working Paper
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Number 540 11 pages
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Persistent link: https://www.econbiz.de/10011261807
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