IDEAS home Printed from https://ideas.repec.org/p/chf/rpseri/rp1109.html
   My bibliography  Save this paper

Weak Approximation of G-Expectations

Author

Listed:
  • Yan DOLINSKY

    (ETH Zurich)

  • Marcel NUTZ

    (ETH Zurich)

  • Halil Mete SONER

    (ETH Zurich and Swiss Finance Institute)

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.

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
    as

    Download full text from publisher

    File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1792705
    Download Restriction: no

    More about this item

    Keywords

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp1109. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marilyn Barja). General contact details of provider: http://edirc.repec.org/data/chfeech.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.