Numerical schemes for G-Expectations

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.
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.