Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97220
Authors: 
Fadina, Tolulope
Herzberg, Frederik
Year of Publication: 
2014
Series/Report no.: 
Working Papers, Center for Mathematical Economics 503
Abstract: 
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.
Subjects: 
G-expectation
Volatility uncertainty
Weak limit theorem
Document Type: 
Working Paper

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