An Iterative Approximation of the Sublinear Expectation of an Arbitrary Function of $G$-normal Distribution and the Solution to the Corresponding $G$-heat Equation

Yifan Li, Reg Kulperger

It has been a well-known problem in the $G$-framework that it is hard to compute the sublinear expectation of the $G$-normal distribution $\hat{\mathbb{E}}[\phi (X)]$ when $\phi$ is neith…