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Hyperfinite construction of G-expectation

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  • Fadina, Tolulope

    (Center for Mathematical Economics, Bielefeld University)

  • Herzberg, Frederik

    (Center for Mathematical Economics, Bielefeld University)

Abstract

We prove a lifting theorem, in the sense of Robinsonian nonstandard analysis, for the G-expectation. Herein, we use an existing discretization theorem for the G-expectation by T. Fadina and F. Herzberg (Bielefeld University, Center for Mathematical Economics in its series Working Papers, 503, (2014)).

Suggested Citation

  • Fadina, Tolulope & Herzberg, Frederik, 2015. "Hyperfinite construction of G-expectation," Center for Mathematical Economics Working Papers 540, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:540
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    References listed on IDEAS

    as
    1. Riedel, Frank & Herzberg, Frederik, 2013. "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
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