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It has been a well-known problem in the G-framework that it is hard to compute the sublinear expectation of the G-normal distribution $\expt[\varphi(X)]$ when $\varphi$ is neither convex nor concave, if not involving any PDE techniques to solve the corresponding G-heat equation. Recently, we have established an efficient iterative method able to compute the sublinear expectation of arbitrary function of the G-normal distribution, which directly applies the Nonlinear Central Limit Theorem in the G-framework to a sequence of variance-uncertain random variables following the Semi-G-normal Distribution, a newly defined concept with a nice Integral Representation, behaving like a ladder in both theory and intuition, helping us climb from the ground of classical normal distribution to approach the peak of G-normal distribution through the iteratively maximizing steps. The series of iteration functions actually produce the whole solution surface of the G-heat equation on a given time grid.
Session
Date and Time
-
Additional Authors and Speakers (not including you)
Reg Kulperger
The University of Western Ontario
Language of Oral Presentation
English
Language of Visual Aids
English

Speaker

Edit Name Primary Affiliation
Yifan Li University of Western Ontario