Weak approximation of G-expectations

Stochastic Processes and their Applications

Volumn 122, Issue 2, 2012, Pages 664-675

  Dolinsky, Yan ^a   Nutz, Marcel ^b   Soner, H Mete ^a,c  

^a ETH ZURICH   (Switzerland)

^b Och Spine at New York Presbyterian Hospitals   (United States)

^c SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

G expectation; Volatility uncertainty; Weak limit theorem

Indexed keywords

CONTINUOUS TIME; DISCRETE TIME; G-BROWNIAN MOTION; G-EXPECTATION; LIMIT THEOREM; SUBLINEAR; VOLATILITY UNCERTAINTY; WEAK APPROXIMATION;

COMPUTER SIMULATION; STATISTICS; STOCHASTIC SYSTEMS;

BROWNIAN MOVEMENT;

EID: 84155162651     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2011.09.009     Document Type: Article

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