On the necessary and sufficient conditions for Peng's law of large numbers under sublinear expectations

Xinpeng Li; Gaofeng Zong

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arXiv · 2106.00902

On the necessary and sufficient conditions for Peng's law of large numbers under sublinear expectations

Xinpeng Li·Gaofeng Zong

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Abstract

In this paper, we firstly establish the weak laws of large numbers on the canonical space $(\br^\bn,\cb(\br^\bn))$ by traditional truncation method and Chebyshev's inequality as in the classical probability theory. Then we extend them from the canonical space to the general sublinear expectation space. The necessary and sufficient conditions for Peng's law of large numbers are obtained.

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Xinpeng Li, Gaofeng Zong. 2021-06-02. On the necessary and sufficient conditions for Peng's law of large numbers under sublinear expectations. https://arxiv.org/abs/2106.00902

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