On Shige Peng’s central limit theorem

N.V. Krylov

Stochastic Processes and their Applications, 2020, vol. 130, issue 3, 1426-1434

Abstract: We give error estimates in Peng’s central limit theorem for not necessarily nondegenerate case. The exposition uses the language of the classical probability theory instead of the language of the theory of sublinear expectations. We only consider the one-dimensional case. The higher dimensional extension is left to the interested reader.

Keywords: Sublinear central limit theorem; The rate of convergence (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2019.05.005

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