Weak Approximation of G-Expectations

Yan Dolinsky, Marcel Nutz and Halil Mete Soner
Additional contact information
Yan Dolinsky: ETH Zurich
Marcel Nutz: ETH Zurich
Halil Mete Soner: ETH Zurich and Swiss Finance Institute

No 11-09, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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.

Keywords: G-expectation; volatility uncertainty; weak limit theorem AMS 2000 Subject Classifications 60F05; 60G44; 91B25; 91B30 (search for similar items in EconPapers)
JEL-codes: G13 G32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2011-03
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1792705 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1109

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().