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:	2014-02
Authors:	Fadina, Tolulope ; Herzberg, Frederik
Institutions:	Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
Subject:	G-expectation \| Volatility uncertainty \| Weak limit theorem \| Discretization \| Donsker invariance theorem

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 503 16 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011250942