Weak approximation of G-expectation with discrete state space
Fadina T, Herzberg F (2015) Center for Mathematical Economics Working Papers; 503, revised Version, March 2015.
Bielefeld: Center for Mathematical Economics.
Diskussionspapier
| Veröffentlicht | Englisch
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Autor*in
Fadina, TolulopeUniBi;
Herzberg, Frederik
Abstract / Bemerkung
We refine the discretization of G-expectation by Y. Dolinsky, M. Nutz, and M. Soner (Stochastic Processes and their Applications, 122 (2012), 664{675 ), in order to obtain a discretization of sublinear expectation where the martingale laws are defined on a finite lattice rather than the whole set of reals.
Stichworte
Weak limit theorem;
G-expectation;
Volatility uncertainty
Erscheinungsjahr
2015
Serientitel
Center for Mathematical Economics Working Papers
Band
503
Seite(n)
12
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2675356
Zitieren
Fadina T, Herzberg F. Weak approximation of G-expectation with discrete state space. Center for Mathematical Economics Working Papers. Vol 503 revised Version, March 2015. Bielefeld: Center for Mathematical Economics; 2015.
Fadina, T., & Herzberg, F. (2015). Weak approximation of G-expectation with discrete state space (Center for Mathematical Economics Working Papers, 503) revised Version, March 2015. Bielefeld: Center for Mathematical Economics.
Fadina, Tolulope, and Herzberg, Frederik. 2015. Weak approximation of G-expectation with discrete state space. revised Version, March 2015. Vol. 503. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
Fadina, T., and Herzberg, F. (2015). Weak approximation of G-expectation with discrete state space. Center for Mathematical Economics Working Papers, 503, revised Version, March 2015. Bielefeld: Center for Mathematical Economics.
Fadina, T., & Herzberg, F., 2015. Weak approximation of G-expectation with discrete state space, Center for Mathematical Economics Working Papers, no.503, revised Version, March 2015., Bielefeld: Center for Mathematical Economics.
T. Fadina and F. Herzberg, Weak approximation of G-expectation with discrete state space, Center for Mathematical Economics Working Papers, vol. 503, revised Version, March 2015., Bielefeld: Center for Mathematical Economics, 2015.
Fadina, T., Herzberg, F.: Weak approximation of G-expectation with discrete state space. Center for Mathematical Economics Working Papers, 503, revised Version, March 2015. Center for Mathematical Economics, Bielefeld (2015).
Fadina, Tolulope, and Herzberg, Frederik. Weak approximation of G-expectation with discrete state space. revised Version, March 2015. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 503.
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Open Access
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