Hyperfinite construction of G-expectation

DOI10.1080/17442508.2018.1502771MaRDI QIDQ5086416zbMATH OpenOpenAlexFDO

Authors Tolulope Fadina, Frederik Herzberg

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.09386

zbMATH Keywords

\(G\)-expectationhyperfinite discretizationlifting theoremnonstandard analysisvolatility uncertaintyweak limit theorem

Mathematics Subject Classification ID

Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) General equilibrium theory (91B50)

Abstract: The hyperfinite $G$-expectation is a nonstandard discrete analogue of $G$-expectation (in the sense of Robinsonian nonstandard analysis). A lifting of a continuous-time $G$-expectation operator is defined as a hyperfinite $G$-expectation which is infinitely close, in the sense of nonstandard topology, to the continuous-time $G$-expectation. We develop the basic theory for hyperfinite $G$-expectations and prove an existence theorem for liftings of (continuous-time) $G$-expectation. For the proof of the lifting theorem, we use a new discretization theorem for the $G$-expectation (also established in this paper, based on the work of Dolinsky et al. [Weak approximation of $G$-expectations, Stoch. Proc. Appl. 122(2), (2012), pp.664--675]).

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Cited in

(1)

• Numerical schemes for \(G\)-expectations

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