Weak Approximation of G-Expectations

2011/03/02 by Yan Dolinsky, Marcel Nutz, Dolinsky, Yan +3 · 2 citations
Economics, Econometrics and Finance · #60F05 #60G44 #91B25 #91B30 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1103.0575

openalex publication_date 2011/03/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Citations

• Tightness, weak compactness of nonlinear expectations and application to CLT

Cited by

• A Complete Representation Theorem for G-martingales
• Sublinear Expectations and Martingales in discrete time

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