Central limit theorem under uncertain linear transformations

Abstract: We prove a variant of the central limit theorem (CLT) for a sequence of i.i.d. random variables $\xi_j$, perturbed by a stochastic sequence of linear transformations $A_j$, representing the model uncertainty. The limit, corresponding to a "worst" sequence $A_j$, is expressed in terms of the viscosity solution of the $G$-heat equation. In the context of the CLT under sublinear expectations this nonlinear parabolic equation appeared previously in the papers of S.Peng. Our proof is based on the technique of half-relaxed limits from the theory of approximation schemes for fully nonlinear partial differential equations.