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.
Original language | English |
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Pages (from-to) | 664-675 |
Number of pages | 12 |
Journal | Stochastic Processes and their Applications |
Volume | 122 |
Issue number | 2 |
DOIs | |
Publication status | Published - Feb 2012 |
Externally published | Yes |
Keywords
- G-expectation
- Volatility uncertainty
- Weak limit theorem