Numerical schemes for G-expectations

Yan Dolinsky

doi:10.1214/EJP.v17-2284

Numerical schemes for G-expectations

Yan Dolinsky

Research output: Contribution to journal › Article › Research › peer-review

12 Citations (Scopus)

Abstract

We consider a discrete time analog of G-expectations and we prove that in the case where the time step goes to zero the corresponding values converge to the original G- expectation. Furthermore we provide error estimates for the convergence rate. This paper is continuation of Dolinsky, Nutz, and Soner (2012). Our main tool is a strong approximation theorem which we derive for general discrete time martingales.

Original language	English
Number of pages	15
Journal	Electronic Journal of Probability
Volume	17
DOIs	https://doi.org/10.1214/EJP.v17-2284
Publication status	Published - 2012
Externally published	Yes

Keywords

G-expectations
Strong approximation theorems
Volatility uncertainty

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10.1214/EJP.v17-2284

54026117-oa

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AB - We consider a discrete time analog of G-expectations and we prove that in the case where the time step goes to zero the corresponding values converge to the original G- expectation. Furthermore we provide error estimates for the convergence rate. This paper is continuation of Dolinsky, Nutz, and Soner (2012). Our main tool is a strong approximation theorem which we derive for general discrete time martingales.

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KW - Strong approximation theorems

KW - Volatility uncertainty

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DO - 10.1214/EJP.v17-2284

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SN - 1083-6489

VL - 17

JO - Electronic Journal of Probability

JF - Electronic Journal of Probability

ER -

Numerical schemes for G-expectations

Abstract

Keywords

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