Some inequalities and limit theorems under sublinear expectations
Probability
2015-06-19 v4
Abstract
In this note, we study inequality and limit theory under sublinear expectations. We mainly prove Doob's inequality for submartingale and Kolmogrov's inequality. By Kolmogrov's inequality, we obtain a special version of Kolmogrov's law of large numbers. Finally, we present a strong law of large numbers for independent and identically distributed random variables under one-order type moment condition.
Keywords
Cite
@article{arxiv.1207.0489,
title = {Some inequalities and limit theorems under sublinear expectations},
author = {Ze-Chun Hu and Yan-Zhi Yang},
journal= {arXiv preprint arXiv:1207.0489},
year = {2015}
}
Comments
15 pages