A Central Limit Theorem for Sets of Probability Measures

Zengjing Chen; Larry G. Epstein

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arXiv · 2006.16875

A Central Limit Theorem for Sets of Probability Measures

Zengjing Chen·Larry G. Epstein

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Abstract

We prove a central limit theorem for a sequence of random variables whose means are ambiguous and vary in an unstructured way. Their joint distribution is described by a set of measures. The limit is (not the normal distribution and is) defined by a backward stochastic differential equation that can be interpreted as modeling an ambiguous continuous-time random walk.

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Zengjing Chen, Larry G. Epstein. 2020-06-30. A Central Limit Theorem for Sets of Probability Measures. https://arxiv.org/abs/2006.16875

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