@article{EJP2284,
author = {Yan Dolinsky},
title = {Numerical schemes for G-Expectations},
journal = {Electron. J. Probab.},
fjournal = {Electronic Journal of Probability},
volume = {17},
year = {2012},
keywords = {\$G\$-expectations, volatility uncertainty, strong approximation theorems},
abstract = {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.},
pages = {no. 98, 1-15},
issn = {1083-6489},
doi = {10.1214/EJP.v17-2284},
url = {http://ejp.ejpecp.org/article/view/2284}}