Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete - In: Stochastic Processes and their Applications 122 (2012) 2, pp. 664-675
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Peng’s G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This can be seen as a Donsker-type result for the G-Brownian...