Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations

Xinpeng Li () and Yiqing Lin ()
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Xinpeng Li: Shandong University
Yiqing Lin: Universität Wien

Journal of Theoretical Probability, 2017, vol. 30, issue 2, 581-593

Abstract: Abstract In this paper, we define the generalized Wasserstein distance for sets of Borel probability measures and demonstrate that weak convergence of sublinear expectations can be characterized by means of this distance.

Keywords: Sublinear expectations; Weak convergence; Kantorovich–Rubinstein duality formula; Wasserstein distance; 60A10; 60B10 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10959-015-0651-7

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