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A law of the iterated logarithm under sublinear expectations

Author

Listed:
  • 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)

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.

Suggested Citation

  • Zengjing Chen & Feng Hu, 2014. "A law of the iterated logarithm under sublinear expectations," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 1-23.
    • Handle: RePEc:wsi:jfexxx:v:01:y:2014:i:02:n:s2345768614500159
    DOI: 10.1142/S2345768614500159
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    Cited by:

    1. Feng, Xinwei, 2019. "Law of the logarithm for weighted sums of negatively dependent random variables under sublinear expectation," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 132-141.

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