Weak Approximation of G-Expectations

We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Peng’s G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This can be seen as a Donsker-type result for the G-Brownian motion.

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Authors:	DOLINSKY, Yan ; NUTZ, Marcel ; SONER, Halil Mete
Subject:	G-expectation \| volatility uncertainty \| weak limit theorem AMS 2000 Subject Classifications 60F05

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Extent:	application/pdf
Series:	Swiss Finance Institute Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 11-09 17 pages
Classification:	G13 - Contingent Pricing; Futures Pricing ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010550279