Hyperfinite construction of G-expectation

Fadina T, Herzberg F (2015) Center for Mathematical Economics Working Papers; 540.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
We prove a lifting theorem, in the sense of Robinsonian nonstandard analysis, for the G-expectation. Herein, we use an existing discretization theorem for the G-expectation by T. Fadina and F. Herzberg (Bielefeld University, Center for Mathematical Economics in its series Working Papers, 503, (2014)).
Stichworte
Hyperfinite discretization; RobinsonianNonstandard analysis; Lifting theorem; G-expectation; Volatility uncertainty
Erscheinungsjahr
2015
Band
540
Seite(n)
11
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2732485

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Fadina T, Herzberg F. Hyperfinite construction of G-expectation. Center for Mathematical Economics Working Papers. Vol 540. Bielefeld: Center for Mathematical Economics; 2015.
Fadina, T., & Herzberg, F. (2015). Hyperfinite construction of G-expectation (Center for Mathematical Economics Working Papers, 540). Bielefeld: Center for Mathematical Economics.
Fadina, T., and Herzberg, F. (2015). Hyperfinite construction of G-expectation. Center for Mathematical Economics Working Papers, 540, Bielefeld: Center for Mathematical Economics.
Fadina, T., & Herzberg, F., 2015. Hyperfinite construction of G-expectation, Center for Mathematical Economics Working Papers, no.540, Bielefeld: Center for Mathematical Economics.
T. Fadina and F. Herzberg, Hyperfinite construction of G-expectation, Center for Mathematical Economics Working Papers, vol. 540, Bielefeld: Center for Mathematical Economics, 2015.
Fadina, T., Herzberg, F.: Hyperfinite construction of G-expectation. Center for Mathematical Economics Working Papers, 540. Center for Mathematical Economics, Bielefeld (2015).
Fadina, Tolulope, and Herzberg, Frederik. Hyperfinite construction of G-expectation. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 540.
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2019-09-06T09:18:31Z
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