Generalized Wasserstein distance and weak convergence of sublinear expectations

DOI10.1007/s10959-015-0651-7zbMath1414.60002arXiv1505.04954OpenAlexW1935451947MaRDI QIDQ2360641

Xinpeng Li, Yi-Qing Lin

Publication date: 4 July 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04954

zbMATH Keywords

weak convergenceWasserstein distancesublinear expectationsKantorovich-Rubinstein duality formula

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Convergence of probability measures (60B10)

Related Items (4)

Robust estimation of superhedging prices ⋮ On the laws of the iterated logarithm with mean-uncertainty under sublinear expectations ⋮ Rough path analysis for local time of G-Brownian motion ⋮ Notes on Peng's independence in sublinear expectation theory

Cites Work

• Financial markets with volatility uncertainty
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• On general minimax theorems
• Robust Statistics
• Optimal Transport
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