Notes on Peng’s independence in sublinear expectation theory

Xiaofan Guo, Shan Li and Xinpeng Li

Statistics & Probability Letters, 2023, vol. 193, issue C

Abstract: This paper introduces a new viewpoint of Peng’s independence in sublinear expectation theory via conditional expectation and provides new construction of independent random variables on the canonical product space RN via probability kernels. As an application, the law of large numbers in random type under sublinear expectation is proved.

Keywords: Conditional expectation; Independence; Law of large numbers; Probability kernel; Sublinear expectation (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2022.109719

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