Convergence to a self-normalized G-Brownian motion

G-Brownian motion has a very rich and interesting new structure which nontrivially generalizes the classical one. Its quadratic variation process is also a continuous process with independent and stationary increments. We prove a self-normalized functional central limit theorem for independent and identically distributed random variables under the sub-linear expectation with the limit process being a G-Browian motion self-normalized by its quadratic variation. To prove the self-normalized central limit theorem, we also establish a new Donsker's invariance principle.

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