Fadina, Tolulope Rhoda: Nonstandard analysis for G-Stochastic calculus. 2015
Inhalt
- Acknowledgements
- Contents
- 1 General Introduction
- 1.1 Financial markets with model uncertainty
- 1.2 Bridge between discrete-time and continuous-time models
- 2 Weak Approximation of G-Expectation with Discrete State-Space
- 2.1 Introduction
- 2.2 Framework
- 2.2.1 G-expectation via volatility uncertainty
- 2.2.2 Continuous-time construction of sublinear expectation
- 2.2.3 Discrete-time construction of sublinear expectation
- 2.2.4 Strong formulation of volatility uncertainty
- 2.3 Results and proofs
- 3 A Simplified Approach to Nonstandard Measure Theory
- 3.1 Introduction
- 3.2 Preliminaries
- 3.3 The standard enlargement and its components
- 3.4 Construction and some properties of the nonstandard enlargement
- 3.5 Nonstandard measure space to standard measure space
- 4 Hyperfinite Construction of G-expectation
- 5 Conclusion
- Bibliography