A note on G-normal distributions

DOI10.1016/J.SPL.2015.07.014MaRDI QIDQ900547zbMATH OpenOpenAlexFDO

Authors Yongsheng Song

Publication date 22 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.8225

zbMATH Keywords

\(G\)-normal distributionCramer's decomposition

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10)

Abstract: As is known, the convolution $mu\ast u$ of two $G$-normal distributions $mu,u$ with different intervals of variances may not be $G$-normal. We shows that $mu\ast u$ is a $G$-normal distribution if and only if $fracoverline{sigma}_{m}uunderline{sigma}_{m}u=fracoverline{sigma}_{u}underline{sigma}_u$.

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type

Cited in

(8)

• Normalizing constants of a distribution which belongs to the domain of attraction of the Gumbel distribution
• Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations
• Explicit positive solutions to \(G\)-heat equations and the application to \(G\)-capacities
• A hypothesis-testing perspective on the \(G\)-normal distribution theory
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• scientific article; zbMATH DE number 2204557 (Why is no real title available?)
• Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework

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