TY - JOUR
T1 - Numerical schemes for G-expectations
AU - Dolinsky, Yan
PY - 2012
Y1 - 2012
N2 - We consider a discrete time analog of G-expectations and we prove that in the case where the time step goes to zero the corresponding values converge to the original G- expectation. Furthermore we provide error estimates for the convergence rate. This paper is continuation of Dolinsky, Nutz, and Soner (2012). Our main tool is a strong approximation theorem which we derive for general discrete time martingales.
AB - We consider a discrete time analog of G-expectations and we prove that in the case where the time step goes to zero the corresponding values converge to the original G- expectation. Furthermore we provide error estimates for the convergence rate. This paper is continuation of Dolinsky, Nutz, and Soner (2012). Our main tool is a strong approximation theorem which we derive for general discrete time martingales.
KW - G-expectations
KW - Strong approximation theorems
KW - Volatility uncertainty
UR - http://www.scopus.com/inward/record.url?scp=84869056285&partnerID=8YFLogxK
U2 - 10.1214/EJP.v17-2284
DO - 10.1214/EJP.v17-2284
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AN - SCOPUS:84869056285
SN - 1083-6489
VL - 17
JO - Electronic Journal of Probability
JF - Electronic Journal of Probability
ER -