• Title of article

    Weak approximation of -expectations

  • Author/Authors

    Dolinsky، نويسنده , , Yan and Nutz، نويسنده , , Marcel and Soner، نويسنده , , H. Mete، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2012
  • Pages
    12
  • From page
    664
  • To page
    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
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2012
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1578506

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1578506