Responsive Distribution of G-normal Random Variables

Ziting Pei, Shige Peng, Xingye Yue +1

A $G$-normal random variable $X\sim \mathcal{N}(0,[\underline{\ddot{I}}{ƒ}^2,\overline{\ddot{I}}{ƒ}^2])$ does not admit a unique probability law due to volatility uncertainty. For a given test function…