| Título: | Numerical schemes for G-Expectations |
| Autores: | Dolinsky, Yan; ETH Zurich and Hebrew University of Jerusalem |
| Fecha: | 2012-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
$G$-expectations, volatility uncertainty, strong approximation theorems 60F15; 60G44; 91B24 |
| Descripción: | 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. |
| Idioma: | Inglés |
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