16 Pages Posted: 20 Jul 2014
Date Written: July 18, 2014
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: 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