working Paper
Weak approximation of G-expectation with discrete state space
published
Tolulope
Fadina
author 29193359
Frederik
Herzberg
author
10031
department
10053
department
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.
https://pub.uni-bielefeld.de/download/2675356/2729544/IMW_working_paper_503.pdf
application/pdfno
Center for Mathematical Economics2015
eng
Weak limit theoremG-expectationVolatility uncertainty
0931-6558urn:nbn:de:0070-pub-26753567
50312
T. Fadina and F. Herzberg, <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.
Fadina, T.; Herzberg, F. (2015): Weak approximation of G-expectation with discrete state space. revised Version, March 2015. Bielefeld: Center for Mathematical Economics.
<div style="text-indent:-25px; padding-left:25px;padding-bottom:0px;">Fadina, T., & Herzberg, F. (2015). <em>Weak approximation of G-expectation with discrete state space</em> (Center for Mathematical Economics Working Papers, 503) revised Version, March 2015. Bielefeld: Center for Mathematical Economics.</div>
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.
Fadina T, Herzberg F (2015) <br /><em>Weak approximation of G-expectation with discrete state space</em>. Center for Mathematical Economics Working Papers; 503, revised Version, March 2015.<br />Bielefeld: Center for Mathematical Economics.
Fadina, T., & Herzberg, F. (2015). <em>Weak approximation of G-expectation with discrete state space</em> (Center for Mathematical Economics Working Papers, 503) revised Version, March 2015. Bielefeld: Center for Mathematical Economics.
<div style="text-indent:-25px; padding-left:25px;padding-bottom:0px;">Fadina, T. & Herzberg, F. (2015). <em>Weak approximation of G-expectation with discrete state space</em> (Center for Mathematical Economics Working Papers) (revised Version, March 2015.). Bielefeld: Center for Mathematical Economics.</div>
T. Fadina, and F. Herzberg, <em>Weak approximation of G-expectation with discrete state space</em>, Center For Mathematical Economics, Bielefeld, <strong>2015</strong>.
Fadina, T., Herzberg, F.: Weak approximation of G-expectation with discrete state space. Center for Mathematical Economics Working Papers, 503, revised Version, March 2015. Center for Mathematical Economics, Bielefeld (2015).
Fadina, Tolulope, and Herzberg, Frederik. <em>Weak approximation of G-expectation with discrete state space</em>. revised Version, March 2015. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 503.
<div style="text-indent:-25px; padding-left:25px;padding-bottom:0px;">Fadina, Tolulope, and Herzberg, Frederik. 2015. <em>Weak approximation of G-expectation with discrete state space</em>. revised Version, March 2015. Vol. 503. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.</div>
Fadina, T., and Herzberg, F. (2015). Weak approximation of G-expectation with discrete state space. <em>Center for Mathematical Economics Working Papers</em>, 503, revised Version, March 2015. Bielefeld: Center for Mathematical Economics.
Fadina T, Herzberg F (2015) Center for Mathematical Economics Working Papers; 503, revised Version, March 2015.<br />Bielefeld: Center for Mathematical Economics.
Fadina, T., & Herzberg, F., 2015. <em>Weak approximation of G-expectation with discrete state space</em>, Center for Mathematical Economics Working Papers, no.503, revised Version, March 2015., Bielefeld: Center for Mathematical Economics.
T. Fadina and F. Herzberg, Weak approximation of G-expectation with discrete state space, Center for Mathematical Economics Working Papers, revised Version, March 2015 (Center for Mathematical Economics, Bielefeld, 2015).
26753562014-05-08T13:56:33Z2018-07-24T13:00:57Z