English

Error estimates for the robust $\alpha$-stable central limit theorem under sublinear expectation by discrete approximation method

Numerical Analysis 2023-10-09 v2 Numerical Analysis

Abstract

In this work, we develop a numerical method to study the error estimates of the α\alpha-stable central limit theorem under sublinear expectation with α(0,2)\alpha \in(0,2), whose limit distribution can be characterized by a fully nonlinear integro-differential equation (PIDE). Based on the sequence of independent random variables, we propose a discrete approximation scheme for the fully nonlinear PIDE. With the help of the nonlinear stochastic analysis techniques and numerical analysis tools, we establish the error bounds for the discrete approximation scheme, which in turn provides a general error bound for the robust α\alpha-stable central limit theorem, including the integrable case α(1,2)\alpha \in(1,2) as well as the non-integrable case α(0,1]\alpha \in(0,1]. Finally, we provide some concrete examples to illustrate our main results and derive the precise convergence rates.

Keywords

Cite

@article{arxiv.2310.02134,
  title  = {Error estimates for the robust $\alpha$-stable central limit theorem under sublinear expectation by discrete approximation method},
  author = {Lianzi Jiang},
  journal= {arXiv preprint arXiv:2310.02134},
  year   = {2023}
}
R2 v1 2026-06-28T12:39:32.385Z