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arXiv · 1503.02845

Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm

Li-Xin Zhang
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Abstract

We prove a new Donsker's invariance principle for independent and identically distributed random variables under the sub-linear expectation. As applications, the small deviations and Chung's law of the iterated logarithm are obtained.

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Li-Xin Zhang. 2015-03-10. Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm. https://doi.org/10.1007/s40304-015-0055-0

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