Weak Approximation of G-Expectations

17 Pages Posted: 26 Mar 2011

See all articles by Marcel Nutz

Marcel Nutz

Columbia University

Halil Mete Soner

ETH Zürich; Swiss Finance Institute

Yan Dolinsky

ETH Zürich

Date Written: March 2, 2011

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.

Keywords: G-expectation, volatility uncertainty, weak limit theorem

JEL Classification: G13, G32

Suggested Citation

Nutz, Marcel and Soner, Halil Mete and Dolinsky, Yan, Weak Approximation of G-Expectations (March 2, 2011). Swiss Finance Institute Research Paper No. 11-09, Available at SSRN: https://ssrn.com/abstract=1792705 or http://dx.doi.org/10.2139/ssrn.1792705

Marcel Nutz

Columbia University ( email )

Halil Mete Soner (Contact Author)

ETH Zürich ( email )

Zürichbergstrasse 18
8092 Zurich, CH-1015
Switzerland

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Yan Dolinsky

ETH Zürich ( email )

Zürichbergstrasse 18
8092 Zurich, CH-1015
Switzerland

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