Numerical schemes for $G$--Expectations

Details Numerical schemes for $G$--Expectations Numerical schemes for $G$--Expectations

2011-09-15

arxiv.org/abs/1109.3430v1

Mathematics

Probability

Scientific paper

We consider a discrete time analog of $G$--expectations and we prove that in
the case where the time step goes to 0 the corresponding values converge to the
original $G$--expectation. Furthermore we provide error estimates for the
convergence rate. This paper is continuation of [4]. Our main tool is a strong
approximation theorem which we derive for general discrete time martingales.

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