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A Central Limit Theorem for m-dependent Random Variables under Sublinear Expectations 被引量：3

A Central Limit Theorem for m-dependent Random Variables under Sublinear Expectations
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摘要 In this paper, we prove a central limit theorem for m-dependent random variables under sublinear expectations. This theorem can be regarded as a generalization of Peng＇s central limit theorem. In this paper, we prove a central limit theorem for m-dependent random variables under sublinear expectations. This theorem can be regarded as a generalization of Peng＇s central limit theorem.
作者 Xin-peng LI
机构地区 School of Mathematics
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2015年第2期435-444,共10页 应用数学学报（英文版）
关键词 central limit theorem m-dependence G-normal distribution central limit theorem m-dependence G-normal distribution
分类号 O211.4 [理学—概率论与数理统计] O211.5 [理学—概率论与数理统计]
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参考文献17

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  • 2Chen, Z.,Epstein, L. Ambiguity, risk and asset returns in continuous time. Econometrica, 70(4): 1403 1443 (2002).
  • 3Chung, K.L. A course in probability theory. Academic Press, New York, 1974.
  • 4Crandall, M., Ishii, H., Lions, P.L. User's guide to viscosity solutions of second order partial differential equations. Bulletin of The American Mathematical Society, 27(1): 1-67 (1992).
  • 5Denis,L., Hu, M., Peng,S. Function spaces and capacity related to a sublinear expectation: application to G-Brownian Motion Pathes. In arXiv: 0802.1240vl [math.PR] 9 Feb 2008.
  • 6Diananda, P.H. The central limit theorem for m-dependent random variables. Proc. Comb. Phil. Soc., 51: 92-95 (1955).
  • 7Elliott, R.J., Kopp, P.E. Mathematics of financial markets, 2nd ed. Springer, New York, 2005.
  • 8Hoeffding, W., Robbins, H. The central limit theorem for dependent random variables. Duke Math.J, 15: 773-780 (1948).
  • 9Krylov, N.V. Nonlinear parabolic and elliptic equations of the second order. Reidel Publishing Company, 1987.
  • 10Orey, S.A. Central limit theorem for m-dependent random variables. Duke Math. J., 25:543-546 (1958).

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Acta Mathematicae Applicatae Sinica
2015年 第2期

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