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Weak Approximation of G-Expectations



    (ETH Zurich)

  • Marcel NUTZ

    (ETH Zurich)

  • Halil Mete SONER

    (ETH Zurich and Swiss Finance Institute)


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.

Suggested Citation

  • Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER, "undated". "Weak Approximation of G-Expectations," Swiss Finance Institute Research Paper Series 11-09, Swiss Finance Institute.
  • Handle: RePEc:chf:rpseri:rp1109

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    References listed on IDEAS

    1. Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012. "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, vol. 102(7), pages 3674-3700, December.
    2. Stephen Morris & Hyun Song Shin, 2008. "Financial Regulation in a System Context," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 39(2 (Fall)), pages 229-274.
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    More about this item


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

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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