Weak approximation of G-expectation with discrete state space

Tolulope Fadina and Frederik Herzberg
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Tolulope Fadina: Center for Mathematical Economics, Bielefeld University
Frederik Herzberg: Center for Mathematical Economics, Bielefeld University

No 503, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: We refine the discretization of G-expectation by Y. Dolinsky, M. Nutz, and M. Soner (Stochastic Processes and their Applications, 122 (2012), 664{675 ), in order to obtain a discretization of sublinear expectation where the martingale laws are defined on a finite lattice rather than the whole set of reals.

Keywords: Weak limit theorem; G-expectation; Volatility uncertainty (search for similar items in EconPapers)
Pages: 12
Date: 2014-05-08
New Economics Papers: this item is included in nep-sog
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:503

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