Numerical schemes for \(G\)-expectations

DOI10.1214/EJP.v17-2284zbMath1283.60046arXiv1109.3430MaRDI QIDQ392683

Yan Dolinsky

Publication date: 15 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.3430

zbMATH Keywords

volatility uncertainty\(G\)-expectationsstrong approximation theorems

Mathematics Subject Classification ID

Strong limit theorems (60F15) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44)

Related Items (6)

A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ On the convergence of monotone schemes for path-dependent PDEs ⋮ An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Discrete-time probabilistic approximation of path-dependent stochastic control problems ⋮ Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints ⋮ Pathwise convergence under Knightian uncertainty

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