In this Note, our aim is to obtain the central limit theorem for capacities induced by sublinear expectations.
Le but de cette Note est d'établir un théorème central limite pour les capacités associées à une espérance sous-linéaire.
Accepted:
Published online:
Feng Hu 1; Defei Zhang 1, 2
@article{CRMATH_2010__348_19-20_1111_0, author = {Feng Hu and Defei Zhang}, title = {Central limit theorem for capacities}, journal = {Comptes Rendus. Math\'ematique}, pages = {1111--1114}, publisher = {Elsevier}, volume = {348}, number = {19-20}, year = {2010}, doi = {10.1016/j.crma.2010.07.026}, language = {en}, }
Feng Hu; Defei Zhang. Central limit theorem for capacities. Comptes Rendus. Mathématique, Volume 348 (2010) no. 19-20, pp. 1111-1114. doi : 10.1016/j.crma.2010.07.026. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2010.07.026/
[1] Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion paths, Potential Anal. (2010) | DOI
[2] G-expectation, G-Brownian motion and related stochastic calculus of Ito type (F.E. Benth et al., eds.), Stochastic Analysis and Applications, Proceedings of the Second Abel Symposium, 2005, Springer-Verlag, 2006, pp. 541-567
[3] Law of large numbers and central limit theorem under nonlinear expectations, 13 Feb 2007 | arXiv
[4] G-Brownian motion and dynamic risk measure under volatility uncertainty, 19 Nov 2007 | arXiv
[5] Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation, Stochastic Process. Appl., Volume 118 (2008) no. 12, pp. 2223-2253
[6] A new central limit theorem under sublinear expectations, 18 Mar 2008 | arXiv
[7] Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations, Sci. China Ser. A: Mathematics, Volume 52 (2009) no. 7, pp. 1391-1411
Cited by Sources:
Comments - Policy