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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Year of publication:	2012
Authors:	Dolinsky, Yan ; Nutz, Marcel ; Soner, H. Mete
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 2, p. 664-675
Publisher:	Elsevier
Subject:	G-expectation \| Volatility uncertainty \| Weak limit theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010577840