Weak approximation of G-expectations

Yan Dolinsky; Marcel Nutz; H. Mete Soner

doi:10.1016/j.spa.2011.09.009

Weak approximation of G-expectations

Yan Dolinsky
, Marcel Nutz^*
, H. Mete Soner

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

30 Scopus citations

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.

Original language	English
Pages (from-to)	664-675
Number of pages	12
Journal	Stochastic Processes and their Applications
Volume	122
Issue number	2
DOIs	https://doi.org/10.1016/j.spa.2011.09.009
State	Published - Feb 2012
Externally published	Yes

Bibliographical note

Funding Information:
This research was supported by the European Research Council Grant 228053-FiRM , the Swiss National Science Foundation Grant PDFM2-120424/1 , the Swiss Finance Institute and the ETH Foundation .

Keywords

G-expectation
Volatility uncertainty
Weak limit theorem

Access to Document

10.1016/j.spa.2011.09.009

Cite this

@article{4f8d7b02a80f41b4b6deae37fdc95327,

title = "Weak approximation of G-expectations",

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",

author = "Yan Dolinsky and Marcel Nutz and Soner, \{H. Mete\}",

note = "Funding Information: This research was supported by the European Research Council Grant 228053-FiRM , the Swiss National Science Foundation Grant PDFM2-120424/1 , the Swiss Finance Institute and the ETH Foundation .",

year = "2012",

month = feb,

doi = "10.1016/j.spa.2011.09.009",

language = "אנגלית",

volume = "122",

pages = "664--675",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier B.V.",

number = "2",

}

TY - JOUR

T1 - Weak approximation of G-expectations

AU - Dolinsky, Yan

AU - Nutz, Marcel

AU - Soner, H. Mete

N1 - Funding Information: This research was supported by the European Research Council Grant 228053-FiRM , the Swiss National Science Foundation Grant PDFM2-120424/1 , the Swiss Finance Institute and the ETH Foundation .

PY - 2012/2

Y1 - 2012/2

N2 - 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.

AB - 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.

KW - G-expectation

KW - Volatility uncertainty

KW - Weak limit theorem

UR - https://www.scopus.com/pages/publications/84155162651

U2 - 10.1016/j.spa.2011.09.009

DO - 10.1016/j.spa.2011.09.009

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:84155162651

SN - 0304-4149

VL - 122

SP - 664

EP - 675

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -

Weak approximation of G-expectations

Abstract

Bibliographical note

Keywords

Access to Document

Other files and links

Fingerprint

Cite this