no. 19-20
Probability Theory
Central limit theorem for capacities
[Théorème de limite centrale pour capacités]

Présenté par : Marc Yor

Hu, Feng1 ; Zhang, Defei1, 2
1 School of Mathematics, Shandong University, 250100, Jinan, China
2 School of Mathematics, Honghe University, 661100, Mengzi, China
Comptes Rendus. Mathématique, Tome 348 (2010) no. 19-20, pp. 1111-1114.

Le but de cette Note est d'établir un théorème central limite pour les capacités associées à une espérance sous-linéaire.

In this Note, our aim is to obtain the central limit theorem for capacities induced by sublinear expectations.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2010.07.026
Hu, Feng 1 ; Zhang, Defei 1, 2

1 School of Mathematics, Shandong University, 250100, Jinan, China
2 School of Mathematics, Honghe University, 661100, Mengzi, China 
@article{CRMATH_2010__348_19-20_1111_0,
     author = {Hu, Feng and Zhang, Defei},
     title = {Central limit theorem for capacities},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {1111--1114},
     publisher = {Elsevier},
     volume = {348},
     number = {19-20},
     year = {2010},
     doi = {10.1016/j.crma.2010.07.026},
     language = {en},
     url = {http://www.numdam.org/articles/10.1016/j.crma.2010.07.026/}
}
TY  - JOUR
AU  - Hu, Feng
AU  - Zhang, Defei
TI  - Central limit theorem for capacities
JO  - Comptes Rendus. Mathématique
PY  - 2010
SP  - 1111
EP  - 1114
VL  - 348
IS  - 19-20
PB  - Elsevier
UR  - http://www.numdam.org/articles/10.1016/j.crma.2010.07.026/
DO  - 10.1016/j.crma.2010.07.026
LA  - en
ID  - CRMATH_2010__348_19-20_1111_0
ER  - 
%0 Journal Article
%A Hu, Feng
%A Zhang, Defei
%T Central limit theorem for capacities
%J Comptes Rendus. Mathématique
%D 2010
%P 1111-1114
%V 348
%N 19-20
%I Elsevier
%U http://www.numdam.org/articles/10.1016/j.crma.2010.07.026/
%R 10.1016/j.crma.2010.07.026
%G en
%F CRMATH_2010__348_19-20_1111_0
Hu, Feng; Zhang, Defei. Central limit theorem for capacities. Comptes Rendus. Mathématique, Tome 348 (2010) no. 19-20, pp. 1111-1114. doi : 10.1016/j.crma.2010.07.026. http://www.numdam.org/articles/10.1016/j.crma.2010.07.026/

[1] Denis, L.; Hu, M.; Peng, S. Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion paths, Potential Anal. (2010) | DOI

[2] Peng, S. G-expectation, G-Brownian motion and related stochastic calculus of Ito type (Benth, F.E. et al., eds.), Stochastic Analysis and Applications, Proceedings of the Second Abel Symposium, 2005, Springer-Verlag, 2006, pp. 541-567

[3] Peng, S. Law of large numbers and central limit theorem under nonlinear expectations, 13 Feb 2007 | arXiv

[4] Peng, S. G-Brownian motion and dynamic risk measure under volatility uncertainty, 19 Nov 2007 | arXiv

[5] Peng, S. Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation, Stochastic Process. Appl., Volume 118 (2008) no. 12, pp. 2223-2253

[6] Peng, S. A new central limit theorem under sublinear expectations, 18 Mar 2008 | arXiv

[7] Peng, S. Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations, Sci. China Ser. A: Mathematics, Volume 52 (2009) no. 7, pp. 1391-1411

Cité par Sources :