Weak Approximation of G-Expectations

Published 2 Mar 2011 in math.PR and math.OC | (1103.0575v1)

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.

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