Weak Approximation of G-Expectations
Probability
2011-03-04 v1 Optimization and Control
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.
Keywords
Cite
@article{arxiv.1103.0575,
title = {Weak Approximation of G-Expectations},
author = {Yan Dolinsky and Marcel Nutz and H. Mete Soner},
journal= {arXiv preprint arXiv:1103.0575},
year = {2011}
}
Comments
14 pages