Weak approximation of G-expectations
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Nutz, Marcel & van Handel, Ramon, 2013. "Constructing sublinear expectations on path space," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3100-3121.
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