Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations
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Abstract: The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes, especially stochastic integrals and differential equations. In this paper, general central limit theorems and functional central limit theorems are obtained for martingale like random variables under the sub-linear expectation. As applications, the Lindeberg central limit theorem and functional central limit theorem are obtained for independent but not necessarily identically distributed random variables, and a new proof of the L'evy characterization of a G-Brownian motion without using stochastic calculus is given. For proving the results, we have also established Rosenthal's inequality and the exceptional inequality for the martingale like random variables.
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Cited in
(12)- Central limit theorem for linear processes generated by IID random variables under the sub-linear expectation
- On the laws of the iterated logarithm under sub-linear expectations
- Note on precise rates in the law of iterated logarithm for the moment convergence of i.i.d.: random variables under sublinear expectations
- The sufficient and necessary conditions of the strong law of large numbers under sub-linear expectations
- Central limit theorem for linear processes generated by m-dependent random variables under the sub-linear expectation
- Functional Shige Peng's central limit theorems for martingale vectors
- Chover’s law of the iterated logarithm for weighted sums under sub-linear expectations
- Stochastic averaging principle for neutral stochastic functional differential equations driven by \(\mathrm{G}\)-Lévy process
- Complete convergence for moving average process generated by extended negatively dependent random variables under sub-linear expectations
- Precise asymptotics for maxima of partial sums under sub-linear expectation
- The functional central limit theorem with mean uncertainty under the sublinear expectation
- General central limit theorems for m-dependent random variables under sub-linear expectations
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