Weak Approximation of G-Expectations
17 Pages Posted: 26 Mar 2011
Date Written: March 2, 2011
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
JEL Classification: G13, G32
Suggested Citation: Suggested Citation
Nutz, Marcel and Soner, Halil Mete and Dolinsky, Yan, Weak Approximation of G-Expectations (March 2, 2011). Swiss Finance Institute Research Paper No. 11-09, Available at SSRN: https://ssrn.com/abstract=1792705 or http://dx.doi.org/10.2139/ssrn.1792705
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