A central limit theorem for sets of probability measures.
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| Title: | A central limit theorem for sets of probability measures. |
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| Authors: | Chen, Zengjing1 (AUTHOR) zjchen@sdu.edu.cn, Epstein, Larry G.1,2,3 (AUTHOR) larry.epstein@mcgill.ca |
| Source: | Stochastic Processes & Their Applications. Oct2022, Vol. 152, p424-451. 28p. |
| Subjects: | Central limit theorem, Probability measures, Stochastic differential equations, Random variables, Random walks |
| Abstract: | 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 (suitably equivalent) probability measures. The limit is defined by a backward stochastic differential equation that can be interpreted as modeling an ambiguous continuous-time random walk. [ABSTRACT FROM AUTHOR] |
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| Database: | Engineering Source |
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