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

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

Cites Work

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• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• 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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