English

Functional central limit theorem with mean-uncertainty under sublinear expectation

Probability 2023-07-25 v1

Abstract

In this paper, we introduce a fundamental model for independent and identically distributed sequence with model uncertainty on the canonical space (RN,B(RN))(\mathbb{R}^\mathbb{N},\mathcal{B}(\mathbb{R}^\mathbb{N})) via probability kernels. Thanks to the well-defined upper and lower variances, we obtain a new functional central limit theorem with mean-uncertainty on the canonical space by the method based on the martingale central limit theorem and stability of stochastic integral in the classical probability theory. Then we extend it to the general sublinear expectation space through a new representation theorem. Our results generalize Peng's central limit theorem with zero-mean to the case of mean-uncertainty and provides a purely probabilistic proof instead of the existing nonlinear partial differential equation approach. As an application, we consider the two-armed bandit problem and generalize the corresponding central limit theorem from the case of mean-certainty to mean-uncertainty.

Keywords

Cite

@article{arxiv.2307.12077,
  title  = {Functional central limit theorem with mean-uncertainty under sublinear expectation},
  author = {Xiaofan Guo and Xinpeng Li},
  journal= {arXiv preprint arXiv:2307.12077},
  year   = {2023}
}

Comments

31 pages. arXiv admin note: substantial text overlap with arXiv:2203.00170

R2 v1 2026-06-28T11:37:40.158Z