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.
Original language | English |
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Journal | Electronic Journal of Probability |
Volume | 17 |
DOIs | |
State | Published - 2012 |
Keywords
- G-expectations
- Strong approximation theorems
- Volatility uncertainty
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty