Weak approximation of \(G\)-expectations (Q665446): Difference between revisions

The \(G\)-expectation [\textit{S. Peng}, Stochastic Processes Appl. 118, No. 12, 2223--2253 (2008; Zbl 1158.60023)] is a nonlinear expectation advancing the notions of backward stochastic differential equations [\textit{E. Pardoux} and \textit{S. Peng}, Syst. Control Lett. 14, No. 1, 55--61 (1990; Zbl 0692.93064)] and \(g\)-expectations [\textit{S. Peng}, Pitman Res. Notes Math. Ser. 364, 141--159 (1997; Zbl 0892.60066)]. A \(G\)-expectation \(\xi\mapsto{\mathcal E}^G(\xi)\) is a sublinear function mapping random variables \(\xi\) on the canonical space \(\Omega= C([0,T],\mathbb{R})\) to the real numbers. Here, \(G\) refers to a given function \(G: \mathbb{R}\to\mathbb{R}\) of the form \[ G(\gamma)= {1\over 2} (R\gamma^+- r\gamma^-)= {1\over 2}\sup_{r\leq a\leq R} a\gamma, \] where \(0\leq r\leq R<\infty\) are fixed numbers. In the present paper, the authors introduce a discrete-time analogue of the \(G\)-expectation which is shown to converge weakly (in the continuous-time limit) to the \(G\)-expectation. This result can be seen as a Donsker-type result for the \(G\)-Brownian motion.