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Weak Approximation of G-Expectations

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  • Yan DOLINSKY

    (ETH Zurich)

  • Marcel NUTZ

    (ETH Zurich)

  • Halil Mete SONER

    (ETH Zurich and Swiss Finance Institute)

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    Abstract

    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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    Bibliographic Info

    Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 11-09.

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    Length: 17 pages
    Date of creation:
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    Handle: RePEc:chf:rpseri:rp1109

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    Web page: http://www.SwissFinanceInstitute.ch
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    Related research

    Keywords: G-expectation; volatility uncertainty; weak limit theorem AMS 2000 Subject Classifications 60F05; 60G44; 91B25; 91B30;

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