Weak Approximation of G-Expectations

Details Weak Approximation of G-Expectations Weak Approximation of G-Expectations

2011-03-02

arxiv.org/abs/1103.0575v1

Mathematics

Probability

14 pages

Scientific paper

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.

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