A robust \alpha-stable central limit theorem under sublinear expectation without integrability condition
From MaRDI portal
A robust $\alpha$-stable central limit theorem under sublinear expectation without integrability condition
Abstract: This article relaxes the integrability condition imposed in the literature for the robust -stable central limit theorem under sublinear expectation. Specifically, for , we prove that the normalized sums of i.i.d. non-integrable random variables converge in distribution to , where is a multidimensional nonlinear symmetric -stable process with a jump uncertainty set . The limiting -stable process is further characterized by a fully nonlinear partial integro-differential equation (PIDE) [ left { �egin{array} [c]{l}displaystyle partial_{t}u(t,x)-sup limits_{F_{mu}in mathcal{L}}left { int_{mathbb{R}^{d}}delta_{lambda}^{alpha}u(t,x)F_{mu}(dlambda)
ight } =0,\ displaystyle u(0,x)=phi(x), forall(t,x)in lbrack0,1] imes mathbb{R}^{d}, end{array}
ight. ] where [ delta_{lambda}^{alpha} u(t,x):= left { �egin{array} [c]{l} u(t,x+lambda)-u(t,x)-langle D_{x}u(t,x),lambda mathbb{1}_{{|lambda |leq 1}}
angle, alpha=1,\ u(t,x+lambda)-u(t,x), alpha in(0,1). end{array}
ight. ] The main tools are a weak convergence approach to obtain the limiting process, a L'evy-Khintchine representation of the nonlinear -stable process and a truncation technique to estimate the corresponding -stable L'{e}vy measures. As a byproduct, the article also provides a probabilistic approach to prove the existence of the above fully nonlinear PIDE.
This page was built for publication: A robust $\alpha$-stable central limit theorem under sublinear expectation without integrability condition
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6423785)
