Hyperfinite construction of G-expectation

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

No 540, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: We prove a lifting theorem, in the sense of Robinsonian nonstandard analysis, for the G-expectation. Herein, we use an existing discretization theorem for the G-expectation by T. Fadina and F. Herzberg (Bielefeld University, Center for Mathematical Economics in its series Working Papers, 503, (2014)).

Keywords: Hyperfinite discretization; RobinsonianNonstandard analysis; Lifting theorem; G-expectation; Volatility uncertainty (search for similar items in EconPapers)
Pages: 11
Date: 2015-04-24
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https://pub.uni-bielefeld.de/download/2732485/2732486 First Version, 2015 (application/pdf)

Related works:
Working Paper: Hyperfinite Construction of $G$-expectation (2018)
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