A Central Limit Theorem for Sets of Probability Measures
Autor: | Chen, Zengjing, Epstein, Larry G. |
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Rok vydání: | 2020 |
Předmět: | |
Druh dokumentu: | Working Paper |
Popis: | We prove a central limit theorem for a sequence of random variables whose means are ambiguous and vary in an unstructured way. Their joint distribution is described by a set of measures. The limit is (not the normal distribution and is) defined by a backward stochastic differential equation that can be interpreted as modeling an ambiguous continuous-time random walk. |
Databáze: | arXiv |
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