Weak approximation of G-expectations

Yan Dolinsky, Marcel Nutz and H. Mete Soner

Stochastic Processes and their Applications, 2012, vol. 122, issue 2, 664-675

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 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (12)

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DOI: 10.1016/j.spa.2011.09.009

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