Limit theorems with rate of convergence under sublinear expectations
From MaRDI portal
Publication:2325334
DOI10.3150/18-BEJ1063zbMath1428.62096arXiv1711.10649OpenAlexW2972580858MaRDI QIDQ2325334
Shige Peng, Xiao Fang, Yongsheng Song, Qui-Man Shao
Publication date: 25 September 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.10649
rate of convergenceStein's methodlaw of large numberscentral limit theoremsublinear expectation\(G\)-normal distribution
Related Items (14)
Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation ⋮ Laws of large numbers under model uncertainty with an application to \(m\)-dependent random variables ⋮ A central limit theorem for sets of probability measures ⋮ Stein's method for the law of large numbers under sublinear expectations ⋮ Convergence rate of Peng's law of large numbers under sublinear expectations ⋮ Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework ⋮ A central limit theorem, loss aversion and multi-armed bandits ⋮ The sufficient and necessary conditions of the strong law of large numbers under sub-linear expectations ⋮ A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation ⋮ Prokhorov Distance with Rates of Convergence under Sublinear Expectations ⋮ Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs ⋮ Equivalent conditions of complete \(p\)th moment convergence for weighted sums of i. i. d. random variables under sublinear expectations ⋮ A hypothesis-testing perspective on the \(G\)-normal distribution theory ⋮ Stein's method of normal approximation: some recollections and reflections
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Representation of the penalty term of dynamic concave utilities
- Limit laws for non-additive probabilities and their frequentist interpretation
- On quantitative bounds in the mean martingale central limit theorem
- A strong law of large numbers for capacities
- Optimal unbiased estimation for maximal distribution
- Coherent Measures of Risk
- Normal Approximation by Stein’s Method
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Robust Statistics
- Stochastic finance. An introduction in discrete time
This page was built for publication: Limit theorems with rate of convergence under sublinear expectations
