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Stein type characterization for G-normal distributions
Hu, Mingshang1; Peng, Shige1,2; Song, Yongsheng3
2017
Source PublicationELECTRONIC COMMUNICATIONS IN PROBABILITY
ISSN1083-589X
Volume22Pages:12
AbstractIn this article, we provide a Stein type characterization for G-normal distributions: Let N[phi] = sup(mu is an element of Theta) mu[phi], phi E C-b,(Lip)(R), be a sublinear expectation. N is G-normal if and only if for any phi is an element of C-b(2) (R), we have integral(R) [x/2 phi'(x)-G(phi ''(x))]mu(phi)(dx) = 0 where mu(phi) is a realization of y associated with N, i.e., mu phi is an element of Theta and mu(phi)[phi] = N[phi].
KeywordG-normal distribution Stein type characterization G-expectation
DOI10.1214/17-ECP53
Language英语
Funding ProjectNSF[11671231] ; NSF[11626247] ; NSF[11231005] ; Young Scholars Program of Shandong University[2016WLJH10] ; NCMIS ; Key Lab of Random Complex Structures and Data Science, CAS[2008DP173182] ; Key Research Program of Frontier Sciences, CAS[QYZDB-SSW-SYS017]
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000399770400001
PublisherUNIV WASHINGTON, DEPT MATHEMATICS
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/25978
Collection应用数学研究所
Affiliation1.Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Shandong, Peoples R China
2.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Hu, Mingshang,Peng, Shige,Song, Yongsheng. Stein type characterization for G-normal distributions[J]. ELECTRONIC COMMUNICATIONS IN PROBABILITY,2017,22:12.
APA Hu, Mingshang,Peng, Shige,&Song, Yongsheng.(2017).Stein type characterization for G-normal distributions.ELECTRONIC COMMUNICATIONS IN PROBABILITY,22,12.
MLA Hu, Mingshang,et al."Stein type characterization for G-normal distributions".ELECTRONIC COMMUNICATIONS IN PROBABILITY 22(2017):12.
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