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Weak Approximation of G-Expectations

Author

Listed:
  • Yan DOLINSKY

    (ETH Zurich)

  • Marcel NUTZ

    (ETH Zurich)

  • Halil Mete SONER

    (ETH Zurich and Swiss Finance Institute)

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.

Suggested Citation

  • Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER, 2011. "Weak Approximation of G-Expectations," Swiss Finance Institute Research Paper Series 11-09, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1109
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    File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1792705
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    Cited by:

    1. Yan Dolinsky & Halil Mete Soner, 2011. "Duality and Convergence for Binomial Markets with Friction," Papers 1106.2095, arXiv.org.

    More about this item

    Keywords

    G-expectation; volatility uncertainty; weak limit theorem AMS 2000 Subject Classifications 60F05; 60G44; 91B25; 91B30;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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