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 in its series Working Papers, 503, (2014)).

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Year of publication:	2015
Authors:	Fadina, Tolulope ; Herzberg, Frederik
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	G-expectation \| Volatility uncertainty \| Lifting theorem \| Robinsonian Nonstandard analysis \| Hyperfinite discretization

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Series:	Center for Mathematical Economics Working Papers ; 540
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.2595637 [DOI] 823344754 [GVK] hdl:10419/111073 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011282351