Core Concepts

Monotone scheme for G-equations with explicit convergence rate of robust central limit theorem.

Abstract

The article proposes a monotone approximation scheme for G-equations, establishing convergence and convergence rate with error bounds. Applications include Peng's robust central limit theorem and Black-Scholes-Barenblatt equation. Theoretical foundation for G-distributed random variables. Monotone approximation schemes for viscosity solutions discussed. Literature review on monotone schemes provided. Applications to robust central limit theorem and Black-Scholes-Barenblatt equation detailed. Regularity estimates for solutions and approximation schemes presented.

Stats

arXiv:1904.07184v4 [math.PR] 26 Mar 2024
MSC2010 subject classifications: 60F05, 60H30, 65M15
Research supported by National Natural Science Foundation of China (No. 12171169)

Quotes

"The proposed scheme is constructed recursively based on a piecewise constant approximation of the viscosity solution to the G-equation."
"Our method is analytical and is developed under the framework of the monotone approximation schemes for viscosity solutions."

Key Insights Distilled From

by Shuo Huang,G... at **arxiv.org** 03-28-2024

Deeper Inquiries

The monotone scheme for G-equations differs from other numerical methods in several key aspects. Firstly, the scheme is specifically designed for fully nonlinear PDEs called G-equations, which arise in the characterization of G-distributed random variables in a sublinear expectation space. This scheme is constructed recursively based on a piecewise constant approximation of the viscosity solution to the G-equation.
Unlike traditional numerical methods that may focus on specific types of equations or assumptions, the monotone scheme for G-equations is tailored to handle the unique characteristics of G-distributed random variables and sublinear expectations. It leverages comparison principles for both the scheme and the equation, along with a mollification procedure, to ensure convergence and determine the convergence rate with an explicit error bound. This approach allows for a more accurate and efficient approximation of the solution to G-equations.

The convergence rate for Peng's robust central limit theorem has significant implications in the field of nonlinear probability and statistics. By providing an explicit bound of Berry-Esseen type for the convergence rate, the monotone scheme offers a precise understanding of how quickly the sequence of G-distributed random variables converges in law to the G-distributed random vectors (ξ, ζ). This explicit bound enhances the theoretical foundation of the robust central limit theorem and improves upon existing results by deriving a more accurate convergence rate.
The convergence rate obtained through the monotone scheme not only validates the robust central limit theorem but also sheds light on the relationship between numerical schemes in PDEs and central limit theorems in probability. The explicit error bound allows for a deeper analysis of the convergence behavior and provides a quantitative measure of the convergence speed, which can have implications for applications in nonlinear probability and statistics.

The monotone approximation schemes developed for G-equations can be applied to various other problems in G-expectations, expanding the scope of their utility in the field. These schemes can be utilized to derive convergence rates for generalized robust central limit theorems, extending the analysis to different scenarios and model assumptions. By constructing appropriate monotone approximation schemes for different sequences of involved random variables, one can explore the convergence behavior of various G-distributed random variables and their associated distributions.
Additionally, the monotone approximation schemes can be employed to approximate G-expectations themselves, offering a numerical approach to evaluating G-distributed random variables in a sublinear expectation space. This application can benefit from the tools and techniques developed in the convergence analysis of the schemes, providing insights into the numerical solutions of stochastic differential equations driven by G-Brownian motion. Overall, the versatility of monotone approximation schemes in G-expectations opens up avenues for tackling a wide range of problems in nonlinear probability and statistics.

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