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Convergence to a self-normalized G-Brown...
Zhang, Li-Xin...

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Convergence to a self-normalized G-Brownian motion by Zhang, Li-Xin ( Author )
Lemonjar Open Access
N.A
27-07-2015
G-Brownian motion has a very rich and interesting new structure which nontrivially generalizes the classical one. Its quadratic variation process is also a continuous process with independent and stationary increments. We prove a self-normalized functional central limit theorem for independent and identically distributed random variables under the sub-linear expectation with the limit process being a G-Browian motion self-normalized by its quadratic variation. To prove the self-normalized central limit theorem, we also establish a new Donsker's invariance principle.
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English
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MYR 0.00
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https://arxiv.org/abs/1507.07600
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