An -stable limit theorem under sublinear expectation

DOI10.3150/15-BEJ737zbMATH Open1347.60006arXiv1409.7960MaRDI QIDQ726751FDOQ726751

Alexander Munk, Erhan Bayraktar

Publication date: 14 July 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: For $alphain(1,2)$, we present a generalized central limit theorem for $alpha$-stable random variables under sublinear expectation. The foundation of our proof is an interior regularity estimate for partial integro-differential equations (PIDEs). A classical generalized central limit theorem is recovered as a special case, provided a mild but natural additional condition holds. Our approach contrasts with previous arguments for the result in the linear setting which have typically relied upon tools that are non-existent in the sublinear framework, for example, characteristic functions.

Full work available at URL: https://arxiv.org/abs/1409.7960

zbMATH Keywords

stable distributionsublinear expectationgeneralized central limit theorempartial-integro differential equations

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Integro-partial differential equations (35R09) Stable stochastic processes (60G52)

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Cited In (6)

• Title not available (Why is that?)
• A robust \(\alpha \)-stable central limit theorem under sublinear expectation without integrability condition
• Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations
• A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
• Optimal unbiased estimation for maximal distribution
• A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem

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