Nonstandard analysis for G-Stochastic calculus
Fadina TR (2015)
Bielefeld: Bielefeld University.
Bielefelder E-Dissertation | Englisch
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Autor*in
Fadina, Tolulope Rhoda
Gutachter*in / Betreuer*in
Einrichtung
Abstract / Bemerkung
This thesis consists of three self-contained essays and a concluding chapter. The summary of the main results of the essays is the following: First, we prove a Donsker result for the G-Brownian motion with finite state-space.
In the second essay, we give an elementary and more intuitive introduction to nonstandard measure theory and we also provide an alternative construction of the renowned Loeb measure. Following, we develop the basic theory for the hyperfinite G-expectation.
Stichworte
Lifting;
Nonstandard analysis;
G-expectation;
Volatility uncertainty;
Nonstandard measure theory;
Loeb measure
Jahr
2015
Seite(n)
100
Page URI
https://pub.uni-bielefeld.de/record/2757031
Zitieren
Fadina TR. Nonstandard analysis for G-Stochastic calculus. Bielefeld: Bielefeld University; 2015.
Fadina, T. R. (2015). Nonstandard analysis for G-Stochastic calculus. Bielefeld: Bielefeld University.
Fadina, Tolulope Rhoda. 2015. Nonstandard analysis for G-Stochastic calculus. Bielefeld: Bielefeld University.
Fadina, T. R. (2015). Nonstandard analysis for G-Stochastic calculus. Bielefeld: Bielefeld University.
Fadina, T.R., 2015. Nonstandard analysis for G-Stochastic calculus, Bielefeld: Bielefeld University.
T.R. Fadina, Nonstandard analysis for G-Stochastic calculus, Bielefeld: Bielefeld University, 2015.
Fadina, T.R.: Nonstandard analysis for G-Stochastic calculus. Bielefeld University, Bielefeld (2015).
Fadina, Tolulope Rhoda. Nonstandard analysis for G-Stochastic calculus. Bielefeld: Bielefeld University, 2015.
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Open Access
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2019-09-06T09:18:31Z
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