Journal of Theoretical Probability

, Volume 30, Issue 2, pp 581–593 | Cite as

Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations

Article

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.

Keywords

Sublinear expectations Weak convergence Kantorovich–Rubinstein duality formula Wasserstein distance 

Mathematics Subject Classification (2010)

60A10 60B10 

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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.Institute for Advanced Research and School of MathematicsShandong UniversityJinanChina
  2. 2.Fakultät für MathematikUniversität WienWienAustria

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