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2012 Numerical schemes for G-Expectations
Yan Dolinsky
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Electron. J. Probab. 17: 1-15 (2012). DOI: 10.1214/EJP.v17-2284

Abstract

We consider a discrete time analog of $G$-expectations and we prove that in the case where the time step goes to zero the corresponding values converge to the original $G$-expectation. Furthermore we provide error estimates for the convergence rate. This paper is continuation of Dolinsky, Nutz, and Soner (2012). Our main tool is a strong approximation theorem which we derive for general discrete time martingales.

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Yan Dolinsky. "Numerical schemes for G-Expectations." Electron. J. Probab. 17 1 - 15, 2012. https://doi.org/10.1214/EJP.v17-2284

Information

Accepted: 6 November 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1283.60046
MathSciNet: MR2994846
Digital Object Identifier: 10.1214/EJP.v17-2284

Subjects:
Primary: 60F15
Secondary: 60G44 , 91B24

Keywords: $G$-expectations , strong approximation theorems , volatility uncertainty

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Vol.17 • 2012
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