Strong laws of large numbers for sub-linear expectations
Probability
2017-04-28 v2
Abstract
We investigate three kinds of strong laws of large numbers for capacities with a new notion of independently and identically distributed (IID) random variables for sub-linear expectations initiated by Peng. It turns out that these theorems are natural and fairly neat extensions of the classical Kolmogorov's strong law of large numbers to the case where probability measures are no longer additive. An important feature of these strong laws of large numbers is to provide a frequentist perspective on capacities.
Keywords
Cite
@article{arxiv.1006.0749,
title = {Strong laws of large numbers for sub-linear expectations},
author = {Zengjing Chen},
journal= {arXiv preprint arXiv:1006.0749},
year = {2017}
}
Comments
10 pages