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arXiv · 1103.2965

A law of the iterated logarithm sublinear expectations

Zengjing Chen·Feng Hu
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Abstract

In this paper, motivated by the notion of independent identically distributed (IID) random variables under sub-linear expectations initiated by Peng, we investigate a law of the iterated logarithm for capacities. It turns out that our theorem is a natural extension of the Kolmogorov and the Hartman-Wintner laws of the iterated logarithm.

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Zengjing Chen, Feng Hu. 2013-04-09. A law of the iterated logarithm sublinear expectations. https://doi.org/10.1142/s2345768614500159

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