Weak approximation of G-expectation with discrete state space
Fadina, Tolulope
Herzberg, Frederik
Weak limit theorem
G-expectation
Volatility uncertainty
ddc:330
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.
Center for Mathematical Economics
2015
info:eu-repo/semantics/workingPaper
doc-type:workingPaper
text
https://pub.uni-bielefeld.de/record/2675356
https://pub.uni-bielefeld.de/download/2675356/2729544
Fadina T, Herzberg F. <em>Weak approximation of G-expectation with discrete state space</em>. Center for Mathematical Economics Working Papers. Vol 503 revised Version, March 2015. Bielefeld: Center for Mathematical Economics; 2015.
eng
info:eu-repo/semantics/altIdentifier/issn/0931-6558
info:eu-repo/semantics/openAccess