A law of the iterated logarithm under sublinear expectations

Zengjing Chen () and Feng Hu ()
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Zengjing Chen: School of Mathematics, Shandong University, Jinan 250100, P. R. China
Feng Hu: School of Mathematical Sciences, Qufu Normal University, Qufu 273165, P. R. China

Journal of Financial Engineering (JFE), 2014, vol. 01, issue 02, 1-23

Abstract: In this paper, with the notion of independent and identically distributed (IID) random variables under sublinear expectations initiated by Peng, we develop a law of the iterated logarithm (LIL) for capacities. It turns out that our theorem is a natural extension of the Kolmogorov and the Hartman–Wintner LIL.

Keywords: Capacity; law of the iterated logarithm; independent and identically distributed (IID); sublinear expectation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S2345768614500159

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