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Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations. (English) Zbl 1184.60009
Author’s abstract: This is a survey on normal distributions and the related central limit theorem under sublinear expectation. We also present Brownian motion under sublinear expectations and the related stochastic calculus of Ito’s type. The results provide new and robust tools for the problem of probability model uncertainty arising in financial risk, statistics and other industrial problems.

MSC:
60F25$L^p$-limit theorems (probability)
60-01Textbooks (probability theory)
60G15Gaussian processes
60E05General theory of probability distributions
60J65Brownian motion
60H30Applications of stochastic analysis
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Full Text: DOI
References:
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