A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
DOI10.3934/puqr.2023001OpenAlexW4308718185MaRDI QIDQ2699278
Gechun Liang, Ming Shang Hu, Shige Peng, Lianzi Jiang
Publication date: 26 April 2023
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.00203
partial integro-differential equation\(\alpha\)-stable distributionsublinear expectationnonlinear Lévy processuniversal robust limit theorem
Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Integro-partial differential equations (45K05) Stable stochastic processes (60G52) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Rosenthal's inequalities for independent and negatively dependent random variables under sub-linear expectations with applications
- Strong laws of large numbers for sub-linear expectations
- \(C^{\sigma,\alpha}\) estimates for concave, non-local parabolic equations with critical drift
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- An \(\alpha\)-stable limit theorem under sublinear expectation
- On general minimax theorems
- \(G\)-Lévy processes under sublinear expectations
- On the laws of large numbers for pseudo-independent random variables under sublinear expectation
- On Shige Peng's central limit theorem
- A semigroup approach to nonlinear Lévy processes
- Normal approximation by Stein's method under sublinear expectations
- Limit theorems with rate of convergence under sublinear expectations
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Hölder estimates for non-local parabolic equations with critical drift
- Nonlinear Lévy processes and their characteristics
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- On the regularity theory of fully nonlinear parabolic equations: II
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
- Nonlinear Expectations and Stochastic Calculus under Uncertainty
- Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
- Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes
- Minimax Theorems
This page was built for publication: A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
