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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
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  • Gechun Liang's Homepage

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  • In category "Seminar"
  • In group "(Maths) Probability and statistics"
  • By 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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Zoom: https://zoom.us/j/97662591193

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Thomas Bernhardt

thomas.bernhardt@manchester.ac.uk

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