Weak Approximation of G-Expectations

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.

14 pages

References in corpus (2)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Tightness, weak compactness of nonlinear expectations and application to CLT

Cited by in corpus (2)

• Sublinear Expectations and Martingales in discrete time
• Duality and Convergence for Binomial Markets with Friction