English

Strassen's law of the iterated logarithm under sub-linear expectations

Probability 2022-12-22 v1

Abstract

We establish the Strassen's law of the iterated logarithm for independent and identically distributed random variables with E^[X1]=E^[X1]=0\hat{\mathbb{E}}[X_1]=\hat{\mathcal{E}}[X_1]=0 and CV[X12]<C_{\mathbb{V}}[X_1^2]<\infty under sub-linear expectation space with a countably sub-additive capacity V\mathbb{V}. We also show the LIL for upper capacity with σ=σˉ\sigma=\bar{\sigma} under some certain conditions.

Keywords

Cite

@article{arxiv.2212.11103,
  title  = {Strassen's law of the iterated logarithm under sub-linear expectations},
  author = {Wang-yun Gu and Li-xin Zhang},
  journal= {arXiv preprint arXiv:2212.11103},
  year   = {2022}
}