A New Central Limit Theorem under Sublinear Expectations
Probability
2008-03-19 v1 Statistics Theory
Statistics Theory
Abstract
We describe a new framework of a sublinear expectation space and the related notions and results of distributions, independence. A new notion of G-distributions is introduced which generalizes our G-normal-distribution in the sense that mean-uncertainty can be also described. W present our new result of central limit theorem under sublinear expectation. This theorem can be also regarded as a generalization of the law of large number in the case of mean-uncertainty.
Cite
@article{arxiv.0803.2656,
title = {A New Central Limit Theorem under Sublinear Expectations},
author = {Shige Peng},
journal= {arXiv preprint arXiv:0803.2656},
year = {2008}
}