KMS Of Academy of mathematics and systems sciences, CAS
Stein type characterization for G-normal distributions | |
Hu, Mingshang1; Peng, Shige1,2; Song, Yongsheng3 | |
2017 | |
发表期刊 | ELECTRONIC COMMUNICATIONS IN PROBABILITY |
ISSN | 1083-589X |
卷号 | 22页码:12 |
摘要 | In 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]. |
关键词 | G-normal distribution Stein type characterization G-expectation |
DOI | 10.1214/17-ECP53 |
语种 | 英语 |
资助项目 | NSF[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研究方向 | Mathematics |
WOS类目 | Statistics & Probability |
WOS记录号 | WOS:000399770400001 |
出版者 | UNIV WASHINGTON, DEPT MATHEMATICS |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/25978 |
专题 | 应用数学研究所 |
通讯作者 | Hu, Mingshang |
作者单位 | 1.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 |
推荐引用方式 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. |
条目包含的文件 | 条目无相关文件。 |
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