Gechun Liang - Robust limit theorem for nonlinear Levy processes under sublinear expectation (online)
|Dates:||5 October 2022|
|Times:||15:00 - 16:00|
|What is it:||Seminar|
|Organiser:||Department of Mathematics|
Gechun Liang (University of Warwick) will speak in the Probability seminar.
We introduce a universal robust limit theorem under a sublinear expectation framework. It covers both Peng's robust CLT and Bayraktar-Munk's robust limit theorem for alpha-stable distribution. To prove the convergence, we develop a novel weak convergence approach based on the notion of tightness and weak compactness on a sublinear expectation space. We further prove a new type of Levy-Khintchine representation formula to characterise the limit nonlinear Levy process. To establish the convergence rate, we use and extend techniques introduced by Krylov and Barles-Jakobsen for the monotone schemes for viscosity solutions. Based on a series of joint works with Mingshang Hu, Shuo Huang, Lianzi Jiang and Shige Peng.
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