Three series theorem for independent random variables under sub-linear expectations with applications
Probability
2017-12-25 v1
Abstract
In this paper, motived by the notion of independent and identically distributed random variables under the sub-linear expectation initiated by Peng, we give a theorem about the convergence of a random series and establish a three series theorem of independent random variables under the sub-linear expectations. As an application, we obtain the Marcinkiewicz's strong law of large numbers for independent and identically distributed random variables under the sub-linear expectations. The technical details are different from those for classical theorems because the sub-linear expectation and its related capacity are not additive.
Keywords
Cite
@article{arxiv.1712.08279,
title = {Three series theorem for independent random variables under sub-linear expectations with applications},
author = {Jiapan Xu and Lixin Zhang},
journal= {arXiv preprint arXiv:1712.08279},
year = {2017}
}