Title:

A universal robust limit theorem for nonlinear Levy processes under sublinear expectation

Abstract:

We introduce a universal robust limit theorem under a sublinear expectation framework. It covers both Peng’s robust CLT and Bayraktar-Munk’s robust limit theorem for alpha-stable distribution.  To prove the convergence, we develop a novel weak convergence approach based on the notion of tightness and weak compactness on a sublinear expectation space. We further prove a new type of Levy-Khintchine representation formula to characterise the limit nonlinear Levy process. To establish the convergence rate, we use and extend techniques introduced by Krylov and Barles-Jakobsen for the monotone schemes for viscosity solutions. Based on a series of joint works with Mingshang Hu, Shuo Huang, Lianzi Jiang and Shige Peng.

Biography:

Gechun Liang a Reader at the Department of Statistics. His past positions include Associate Professor in the University of Warwick, Lecturer in King’s College London and Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance. In 2018-2019, He was awarded FRIAS Senior Fellow and Marie Curie Fellow at the Freiburg Institute of Advanced Studies (FRIAS), University of Freiburg. His research interests are mainly focused on mathematical finance and stochastic control. 

 

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