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Quantiles under the sub-linear expectations

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  • Anna Kuczmaszewska

    (Lublin University of Technology)

Abstract

In this paper we study some properties of quantile in the sub-linear expectation space. We give the definitions of the lower and the upper quantile and present their representations in this space. In addition, a strong consistency of the sample quantile in sublinear expectation space was proved.

Suggested Citation

  • Anna Kuczmaszewska, 2025. "Quantiles under the sub-linear expectations," Statistical Papers, Springer, vol. 66(4), pages 1-15, June.
    • Handle: RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01705-x
    DOI: 10.1007/s00362-025-01705-x
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    References listed on IDEAS

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    1. Marinacci, Massimo, 1999. "Limit Laws for Non-additive Probabilities and Their Frequentist Interpretation," Journal of Economic Theory, Elsevier, vol. 84(2), pages 145-195, February.
    2. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
    3. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
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