Convergence to a self-normalized G-Brownian motion

DOI10.1186/S41546-017-0013-8MaRDI QIDQ2296092zbMATH OpenOpenAlexWikidataFDO

Authors Zhengyan Lin, Lixin Zhang

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1507.07600

zbMATH Keywords

central limit theoremG-Brownian motioninvariance principleself-normalizationsub-linear expectation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Abstract: G-Brownian motion has a very rich and interesting new structure which nontrivially generalizes the classical one. Its quadratic variation process is also a continuous process with independent and stationary increments. We prove a self-normalized functional central limit theorem for independent and identically distributed random variables under the sub-linear expectation with the limit process being a G-Browian motion self-normalized by its quadratic variation. To prove the self-normalized central limit theorem, we also establish a new Donsker's invariance principle.

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
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• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
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• When is the Student \(t\)-statistic asymptotically standard normal?

Cited in

(1)

• Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations

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