On the rate of convergence for an α-stable central limit theorem under sublinear expectation

We propose a monotone approximation scheme for a class of fully nonlinear degenerate partial integro-differential equations which characterize nonlinear α -stable Lévy processes under a sublinear expectation space with α∈(1,2) . We further establish the error bounds for the monotone approximation scheme. This in turn yields an explicit Berry–Esseen bound and convergence rate for the α -stable central limit theorem under sublinear expectation.