paper
A quantitative discounted central limit theorem using the Fourier metric
Guy Katriel
A quantitative discounted central limit theorem using the Fourier metric
Guy Katriel
Paper2018-04-09English
quantitative financearxiv
Description
The discounted central limit theorem concerns the convergence of an infinite discounted sum of i.i.d. random variables to normality as the discount factor approaches $1$. We show that, using the Fourier metric on probability distributions, one can obtain the discounted central limit theorem, as well as a quantitative version of it, in a simple and natural way, and under weak assumptions.
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