Arbeitspapier
Weak approximation of G-expectation
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.
- Sprache
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Englisch
- Erschienen in
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Series: Center for Mathematical Economics Working Papers ; No. 503
- Klassifikation
-
Wirtschaft
- Thema
-
G-expectation
Volatility uncertainty
Weak limit theorem
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fadina, Tolulope
Herzberg, Frederik
- Ereignis
-
Veröffentlichung
- (wer)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
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Bielefeld
- (wann)
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2014
- Handle
- URN
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urn:nbn:de:0070-pub-26753567
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fadina, Tolulope
- Herzberg, Frederik
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2014
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