Stein Type Characterization for $G$-normal Distributions

Mingshang Hu, Shige Peng, Yongsheng Song

In this article, we provide a Stein type characterization for $G$-normal distributions: Let $\mathcal{N}[\phi ]={\max }_{\mu \in \Theta }\mu [\phi ],\phi \in C_{b,Lip}(\mathbb{R}),$ be a sublinear expectati…