Current browse context:
math.PR
Change to browse by:
References & Citations
Mathematics > Probability
Title: A monotone scheme for G-equations with application to the convergence rate of robust central limit theorem
(Submitted on 15 Apr 2019 (this version), latest version 26 Mar 2024 (v4))
Abstract: We propose a monotone approximation scheme for a class of fully nonlinear PDEs called G-equations. Such equations arise often in the characterization of G-distributed random variables in a sublinear expectation space. The proposed scheme is constructed recursively based on a piecewise constant approximation of the viscosity solution to the G-equation. We establish the convergence of the scheme and determine the convergence rate, using the comparison principles for both the scheme and the equation together with a mollification procedure. One of the main applications is to obtain the convergence rate of Peng's robust central limit theorem for the general situation.
Submission history
From: Gechun Liang [view email][v1] Mon, 15 Apr 2019 16:59:14 GMT (24kb)
[v2] Mon, 22 Apr 2019 12:37:55 GMT (25kb)
[v3] Mon, 24 Feb 2020 16:26:53 GMT (31kb)
[v4] Tue, 26 Mar 2024 21:55:47 GMT (32kb)
Link back to: arXiv, form interface, contact.