Prokhorov Distance with Rates of Convergence under Sublinear Expectations

DOI10.1137/S0040585X97T990150zbMath1469.60014arXiv2004.11211OpenAlexW3093643573MaRDI QIDQ5150159

Qianqian Zhou, Jun-Yi Guo, Aleksandr Ivanovich Sakhanenko

Publication date: 9 February 2021

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.11211

zbMATH Keywords

sublinear expectationLindeberg methodProkhorov distance

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Convergence of probability measures (60B10) Functional limit theorems; invariance principles (60F17) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items (1)

On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process

Cites Work

• A general central limit theorem under sublinear expectations
• On the accuracy of normal approximation in the invariance principle
• Limit theorems with rate of convergence under sublinear expectations
• Nonlinear expectations and nonlinear Markov chains
• On the Rate of Convergence for the Invariance Principle
• A Smoothing Inequality for Estimates of the Lévy–Prokhorov Distance
• Nonlinear Expectations and Stochastic Calculus under Uncertainty
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