Central limit theorem under uncertain linear transformations

DOI10.1016/j.spl.2015.08.027zbMath1329.60043arXiv1505.01084OpenAlexW2963396158MaRDI QIDQ900948

Dmitry B. Rokhlin

Publication date: 23 December 2015

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

Full work available at URL: https://arxiv.org/abs/1505.01084

zbMATH Keywords

viscosity solutioncentral limit theoremmodel uncertainty\(G\)-heat equationhalf-relaxed limits

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Heat equation (35K05) Viscosity solutions to PDEs (35D40)

Related Items (3)

Models with Uncertain Volatility ⋮ Asymptotic sequential Rademacher complexity of a finite function class ⋮ A hypothesis-testing perspective on the \(G\)-normal distribution theory

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Central limit theorem under variance uncertainty
• Remarks on viscosity solutions for evolution equations
• A selection theorem for optimization problems
• A note on the strong formulation of stochastic control problems with model uncertainty
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Exit Time Problems in Optimal Control and Vanishing Viscosity Method
• User’s guide to viscosity solutions of second order partial differential equations
• Variational Analysis
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited
• Stochastic Control Theory
• Stochastic Processes
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

This page was built for publication: Central limit theorem under uncertain linear transformations