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On Shige Peng’s central limit theorem

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  • Krylov, N.V.

Abstract

We give error estimates in Peng’s central limit theorem for not necessarily nondegenerate case. The exposition uses the language of the classical probability theory instead of the language of the theory of sublinear expectations. We only consider the one-dimensional case. The higher dimensional extension is left to the interested reader.

Suggested Citation

  • Krylov, N.V., 2020. "On Shige Peng’s central limit theorem," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1426-1434.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:3:p:1426-1434
    DOI: 10.1016/j.spa.2019.05.005
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