Weak approximation of G-expectation

We refine the discretization of G-expectation by Y. Dolinsky, M.Nutz, and M. Soner (Stochastic Processes and their Applications, 122 (2012), 664-675), in order to obtain a discretization of sublinear expectation where the martingale laws are defined on a finite lattice rather than the whole set of reals.

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Year of publication:	2014
Authors:	Fadina, Tolulope ; Herzberg, Frederik
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	G-expectation \| Volatility uncertainty \| Weak limit theorem

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Series:	Center for Mathematical Economics Working Papers ; 503
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	778473287 [GVK] hdl:10419/97220 [Handle] RePEc:bie:wpaper:503 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010352826