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Weak approximation of G-expectation with discrete state space

Author

Listed:
  • Fadina, Tolulope

    (Center for Mathematical Economics, Bielefeld University)

  • Herzberg, Frederik

    (Center for Mathematical Economics, Bielefeld University)

Abstract

We refine the discretization of G-expectation by Y. Dolinsky, M. Nutz, and M. Soner (Stochastic Processes and their Applications, 122 (2012), 664{675 ), in order to obtain a discretization of sublinear expectation where the martingale laws are defined on a finite lattice rather than the whole set of reals.

Suggested Citation

  • Fadina, Tolulope & Herzberg, Frederik, 2014. "Weak approximation of G-expectation with discrete state space," Center for Mathematical Economics Working Papers 503, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:503
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    File URL: https://pub.uni-bielefeld.de/download/2675356/2729544
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    References listed on IDEAS

    as
    1. 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.
    2. Marcel Nutz, 2010. "Random G-expectations," Papers 1009.2168, arXiv.org, revised Sep 2013.
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