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Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations

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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.

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Acknowledgments

The authors gratefully acknowledge helpful suggestions and comments from both the associate editor and the anonymous reviewer. X. Li is supported by the China Postdoctoral Science Foundation (No. 2014M561907) and the Fundamental Research Funds of Shandong University (No. 2014GN007); Y. Lin is supported by the European Research Council (ERC) under Grant FA506041 and by the Austrian Science Fund (FWF) under Grant P25815.

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Authors and Affiliations

  1. Institute for Advanced Research and School of Mathematics, Shandong University, Jinan, 250100, China

    Xinpeng Li

  2. Fakultät für Mathematik, Universität Wien, 1090, Wien, Austria

    Yiqing Lin

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  1. Xinpeng Li
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  2. Yiqing Lin
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Correspondence to Xinpeng Li.

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Li, X., Lin, Y. Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations. J Theor Probab 30, 581–593 (2017). https://doi.org/10.1007/s10959-015-0651-7

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  • DOI: https://doi.org/10.1007/s10959-015-0651-7

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