TY  - GEN
AB  - We refine the discretization of G-expectation by Y. Dolinsky, M. Nutz, and M. Soner (Stochastic Processes and their Applications, 122 (2012), 664{675 ), in order to obtain a discretization of sublinear expectation where the martingale laws are defined on a finite lattice rather than the whole set of reals.
DA  - 2015
KW  - Weak limit theorem
KW  - G-expectation
KW  - Volatility uncertainty
LA  - eng
PY  - 2015
SN  - 0931-6558
SP  - 12-
TI  - Weak approximation of G-expectation with discrete state space
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-26753567
Y2  - 2024-11-22T09:19:31
ER  -