Weak approximation of G-expectations
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Publication:665446
DOI10.1016/J.SPA.2011.09.009zbMATH Open1259.60073arXiv1103.0575OpenAlexW3123401085WikidataQ57635912 ScholiaQ57635912MaRDI QIDQ665446FDOQ665446
Authors: Yan Dolinsky, Marcel Nutz, H. Mete Soner 
Publication date: 5 March 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1103.0575
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Cites Work
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Cited In (23)
- Hyperfinite construction of G-expectation
- Self-normalized moderate deviation and laws of the iterated logarithm under \(G\)-expectation
- Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
- A complete representation theorem for G-martingales
- Duality and convergence for binomial markets with friction
- Martingale representation theorem for the \(G\)-expectation
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- An \(\alpha\)-stable limit theorem under sublinear expectation
- Equilibrium prices and trade under ambiguous volatility
- Utility maximization under model uncertainty in discrete time
- On Sets of Laws of Continuous Martingales
- Weak approximation of second-order BSDEs
- Superreplication under model uncertainty in discrete time
- Convergence to a self-normalized G-Brownian motion
- Constructing sublinear expectations on path space
- Kolmogorov-type and general extension results for nonlinear expectations
- A semigroup approach to nonlinear Lévy processes
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- Exponential stability of \(\theta\)-method for stochastic differential equations in the \(G\)-framework
- Limits of random walks with distributionally robust transition probabilities
- A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- The scaling limit of superreplication prices with small transaction costs in the multivariate case
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