Weak approximation of G-expectations

Yan Dolinsky; Marcel Nutz; Halil Mete Soner

doi:10.1016/j.spa.2011.09.009

Weak approximation of G-expectations

Yan Dolinsky, Marcel Nutz, Halil Mete Soner

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

25 Citations (Scopus)

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
Pages (from-to)	664-675
Number of pages	12
Journal	Stochastic Processes and their Applications
Volume	122
Issue number	2
DOIs	https://doi.org/10.1016/j.spa.2011.09.009
Publication status	Published - Feb 2012
Externally published	Yes

Keywords

G-expectation
Volatility uncertainty
Weak limit theorem

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10.1016/j.spa.2011.09.009

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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.",

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AB - 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.

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KW - Weak limit theorem

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JO - Stochastic Processes and their Applications

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Weak approximation of G-expectations

Abstract

Keywords

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