| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156777 | Stochastic Processes and their Applications | 2012 | 12 Pages |
Abstract
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Peng’s GG-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the GG-expectation. This can be seen as a Donsker-type result for the GG-Brownian motion.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Yan Dolinsky, Marcel Nutz, H. Mete Soner,