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arXiv · 1104.5295

Moment bounds for IID sequences under sublinear expectations

Feng Hu
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Abstract

In this paper, with the notion of independent identically distributed (IID) random variables under sublinear expectations introduced by Peng [7-9], we investigate moment bounds for IID sequences under sublinear expectations. We can obtain a moment inequality for a sequence of IID random variables under sublinear expectations. As an application of this inequality, we get the following result: For any continuous function $\phi$ satisfying the growth condition $|\phi(x)|\leq C(1+|x|^p)$ for some $C>0$, $p\geq1$ depending on $\phi$, central limit theorem under sublinear expectations obtained by Peng [8] still holds.

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Feng Hu. 2011-04-28. Moment bounds for IID sequences under sublinear expectations. https://doi.org/10.1007/s11425-011-4272-z

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