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Notes on Peng’s independence in sublinear expectation theory

Author

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  • Guo, Xiaofan
  • Li, Shan
  • Li, Xinpeng

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.

Suggested Citation

  • Guo, Xiaofan & Li, Shan & Li, Xinpeng, 2023. "Notes on Peng’s independence in sublinear expectation theory," Statistics & Probability Letters, Elsevier, vol. 193(C).
    • Handle: RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002322
    DOI: 10.1016/j.spl.2022.109719
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    References listed on IDEAS

    as
    1. Marinacci, Massimo, 1999. "Limit Laws for Non-additive Probabilities and Their Frequentist Interpretation," Journal of Economic Theory, Elsevier, vol. 84(2), pages 145-195, February.
    2. Guo, Xiaofan & Li, Xinpeng, 2021. "On the laws of large numbers for pseudo-independent random variables under sublinear expectation," Statistics & Probability Letters, Elsevier, vol. 172(C).
    3. Xinpeng Li & Yiqing Lin, 2017. "Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations," Journal of Theoretical Probability, Springer, vol. 30(2), pages 581-593, June.
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