Generalized Wasserstein distance and weak convergence of sublinear expectations

DOI10.1007/S10959-015-0651-7zbMATH Open1414.60002arXiv1505.04954OpenAlexW1935451947MaRDI QIDQ2360641FDOQ2360641

Authors: Xinpeng Li, Yiqing Lin 

Publication date: 4 July 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: In this paper, we define the generalized Wasserstein distance for sets of Borel probability measures and demonstrate that the weak convergence of sublinear expectations can be characterized by means of this distance.

Full work available at URL: https://arxiv.org/abs/1505.04954

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zbMATH Keywords

Wasserstein distanceweak convergencesublinear expectationsKantorovich-Rubinstein duality formula

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Probabilistic measure theory (60A10)

Cites Work

• Robust Statistics
• Optimal Transport
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• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• On general minimax theorems
• Financial markets with volatility uncertainty
• On monotone, sublinear, dominated functionals on the space of measurable functions

Cited In (11)

• Notes on Peng's independence in sublinear expectation theory
• Wasserstein convergence rates for empirical measures of subordinated processes on noncompact manifolds
• Robust estimation of superhedging prices
• Title not available (Why is that?)
• Subexponential upper and lower bounds in Wasserstein distance for Markov processes
• Rough path analysis for local time of \(G\)-Brownian motion
• On properties of the generalized Wasserstein distance
• Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
• Prokhorov Distance with Rates of Convergence under Sublinear Expectations
• On the laws of the iterated logarithm with mean-uncertainty under sublinear expectations
• Wide consensus aggregation in the Wasserstein space. Application to location-scatter families

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