Numerical schemes for $G$--Expectations
Probability
2011-09-16 v1
Abstract
We consider a discrete time analog of --expectations and we prove that in the case where the time step goes to 0 the corresponding values converge to the original --expectation. Furthermore we provide error estimates for the convergence rate. This paper is continuation of [4]. Our main tool is a strong approximation theorem which we derive for general discrete time martingales.
Cite
@article{arxiv.1109.3430,
title = {Numerical schemes for $G$--Expectations},
author = {Yan Dolinsky},
journal= {arXiv preprint arXiv:1109.3430},
year = {2011}
}