A law of the iterated logarithm sublinear expectations
Probability
2017-02-20 v2
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.
Keywords
Cite
@article{arxiv.1103.2965,
title = {A law of the iterated logarithm sublinear expectations},
author = {Zengjing Chen and Feng Hu},
journal= {arXiv preprint arXiv:1103.2965},
year = {2017}
}