A Central Limit Theorem for Sets of Probability Measures

Autor: Chen, Zengjing, Epstein, Larry G.
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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