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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Volume (Year): 122 (2012)
Issue (Month): 2 ()
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hua He., 1990.
"Convergence from Discrete to Continuous Time Contingent Claims Prices,"
Research Program in Finance Working Papers
RPF-199, University of California at Berkeley.
- He, Hua, 1990. "Convergence from Discrete- to Continuous-Time Contingent Claims Prices," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 523-46.
- Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
- Darrell Duffie & Philip Protter, 1992. "From Discrete- to Continuous-Time Finance: Weak Convergence of the Financial Gain Process," Mathematical Finance, Wiley Blackwell, vol. 2(1), pages 1-15.
- Soner, H. Mete & Touzi, Nizar & Zhang, Jianfeng, 2011. "Martingale representation theorem for the G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 265-287, February.
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