General laws of large numbers under sublinear expectations

Feng Hu and Zengjing Chen

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 14, 4215-4229

Abstract: In this paper, under some weaker conditions, we give three laws of large numbers (LLNs) under sublinear expectations (capacities), which extend the LLN under sublinear expectations in Peng (2008b) and the strong LLN for capacities in Chen (2010). It turns out that these theorems are natural extensions of the classical strong (weak) LLNs to the case where probability measures are no longer additive.

Date: 2016
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DOI: 10.1080/03610926.2014.917677

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