Weak approximation of G-expectations

By Yan Dolinsky, Marcel Nutz, H. M. Soner. 2011

50 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/50053a519eb0fd03680fc196018b72c33982e3f1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Nicole El Karoui
2. Xiaolu Tan
3. Nizar Touzi
4. Huyen Pham
5. Jianfeng Zhang
6. Cong Wu
7. Peter Tankov

In Finance

1. Nicole El Karoui
2. Xiaolu Tan
3. Nizar Touzi
4. Huyen Pham
5. Jianfeng Zhang
6. Martin Schweizer
7. Cong Wu
8. Jocelyne Bion-Nadal

Citations in the corpus

• Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems (2013, background): “…problem with piecewise constant controls, it is then easy to prove the equivalence of the strong and weak formulations (see e.g. Dolinsky, Nutz and Soner (2012, [10])), then a by-product of this stability result is the equivalence of different formulations of the continuous time control problems.”