Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations

被引：8

作者：

Li, Xinpeng ^{[1
,2
]}

Lin, Yiqing ^{[3
]}

机构：

[1] Shandong Univ, Inst Adv Res, Jinan 250100, Peoples R China

[2] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

[3] Univ Wien, Fak Math, A-1090 Vienna, Austria

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2017年 / 30卷 / 02期

基金：

中国博士后科学基金; 奥地利科学基金会; 欧洲研究理事会;

关键词：

Sublinear expectations; Weak convergence; Kantorovich-Rubinstein duality formula; Wasserstein distance; VOLATILITY;

D O I：

10.1007/s10959-015-0651-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we define the generalized Wasserstein distance for sets of Borel probability measures and demonstrate that weak convergence of sublinear expectations can be characterized by means of this distance.

引用

页码：581 / 593

页数：13

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