Unanticipated Features of the Multidimensional G-Normal Distribution

16 Pages Posted: 20 Jul 2014  

Erhan Bayraktar

University of Michigan at Ann Arbor - Department of Mathematics

Alexander Munk

University of Michigan at Ann Arbor - Department of Mathematics

Date Written: July 18, 2014

Abstract

In one dimension, the theory of the G-normal distribution is well-developed, and many results from the classical setting have a nonlinear counterpart. Significant challenges remain in multiple dimensions, and some of what has already been discovered is quite nonintuitive. By answering several classically-inspired questions concerning independence, covariance uncertainty, and behavior under certain linear operations, we continue to highlight the fascinating range of unexpected attributes of the multidimensional G-normal distribution.

Keywords: sublinear expectation; multi-dimensional G-normal distribution, independence

Suggested Citation

Bayraktar, Erhan and Munk, Alexander, Unanticipated Features of the Multidimensional G-Normal Distribution (July 18, 2014). Available at SSRN: https://ssrn.com/abstract=2468364 or http://dx.doi.org/10.2139/ssrn.2468364

Erhan Bayraktar (Contact Author)

University of Michigan at Ann Arbor - Department of Mathematics ( email )

2074 East Hall
530 Church Street
Ann Arbor, MI 48109-1043
United States

Alexander Munk

University of Michigan at Ann Arbor - Department of Mathematics ( email )

2074 East Hall
530 Church Street
Ann Arbor, MI 48109
United States

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