Weak approximation of \(G\)-expectations

DOI10.1016/j.spa.2011.09.009zbMath1259.60073arXiv1103.0575OpenAlexW3123401085WikidataQ57635912 ScholiaQ57635912MaRDI QIDQ665446

Yan Dolinsky, Marcel Nutz, Halil Mete Soner

Publication date: 5 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.0575

zbMATH Keywords

weak limit theorem\(G\)-expectationvolatility uncertainty

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (20)

Duality and convergence for binomial markets with friction ⋮ Equilibrium prices and trade under ambiguous volatility ⋮ Hyperfinite construction of G-expectation ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ Exponential stability of \(\theta\)-method for stochastic differential equations in the \(G\)-framework ⋮ Constructing sublinear expectations on path space ⋮ On Sets of Laws of Continuous Martingales ⋮ Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion ⋮ The scaling limit of superreplication prices with small transaction costs in the multivariate case ⋮ Superreplication under model uncertainty in discrete time ⋮ Self-normalized moderate deviation and laws of the iterated logarithm under \(G\)-expectation ⋮ An \(\alpha\)-stable limit theorem under sublinear expectation ⋮ Kolmogorov-type and general extension results for nonlinear expectations ⋮ UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME ⋮ Convergence to a self-normalized G-Brownian motion ⋮ A complete representation theorem for G-martingales ⋮ Discrete-time probabilistic approximation of path-dependent stochastic control problems ⋮ A semigroup approach to nonlinear Lévy processes ⋮ Weak approximation of second-order BSDEs ⋮ Limits of random walks with distributionally robust transition probabilities

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• Limit theorem on option replication cost with transaction costs
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Nonlinear Expectations and Stochastic Calculus under Uncertainty

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