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Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations

Author

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  • Xinpeng Li

    (Shandong University)

  • Yiqing Lin

    (Universität Wien)

Abstract

In this paper, we define the generalized Wasserstein distance for sets of Borel probability measures and demonstrate that weak convergence of sublinear expectations can be characterized by means of this distance.

Suggested Citation

  • Xinpeng Li & Yiqing Lin, 2017. "Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations," Journal of Theoretical Probability, Springer, vol. 30(2), pages 581-593, June.
    • Handle: RePEc:spr:jotpro:v:30:y:2017:i:2:d:10.1007_s10959-015-0651-7
    DOI: 10.1007/s10959-015-0651-7
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    References listed on IDEAS

    as
    1. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous Volatility and Asset Pricing in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
    2. Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
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    Cited by:

    1. Guo, Xiaofan & Li, Shan & Li, Xinpeng, 2023. "Notes on Peng’s independence in sublinear expectation theory," Statistics & Probability Letters, Elsevier, vol. 193(C).

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