Weak approximation of G-expectations

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:122

Article

Dolinsky, Yan²  Nutz, Marcel¹  Soner, H. Mete² 

[1] Columbia Univ, Dept Math, New York, NY 10027 USA

[2] ETH, Dept Math, CH-8092 Zurich, Switzerland

关键词: G-expectation;    Volatility uncertainty;    Weak limit theorem;   

DOI  :  10.1016/j.spa.2011.09.009

来源: Elsevier

【 摘 要 】

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. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

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