Hyperfinite construction of G-expectation


The hyperfinite G-expectation is a nonstandard discrete analogue of G-expectation (in the sense of Robinsonian nonstandard analysis). A lifting of a continuous-time G-expectation operator is defined as a hyperfinite... [ view full abstract ]


  1. Tolulope Rhoda Fadina (University of Freiburg)
  2. Frederik Herzberg (Universitat Bielefeld)

Topic Areas

Equilibrium Models , Robustness , Stochastic Analysis


TH-A-SY » Time Consistency and Inconsistency (11:30 - Thursday, 19th July, Synge)

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