An -stable limit theorem under sublinear expectation
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Abstract: For , we present a generalized central limit theorem for -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.
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Cited in
(6)- scientific article; zbMATH DE number 4174886 (Why is no real title available?)
- 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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