General laws of large numbers under sublinear expectations

DOI10.1080/03610926.2014.917677MaRDI QIDQ2816870zbMATH OpenOpenAlexFDO

Authors Feng Hu, Zengjing Chen

Publication date 26 August 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.5296

zbMATH Keywords

capacitylaws of large numbersmaximal distributionsublinear expectation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Abstract: In this paper, under some weaker conditions, we give three laws of large numbers under sublinear expectations (capacities), which extend Peng's law of large numbers under sublinear expectations in [8] and Chen's strong law of large numbers for capacities in [1]. It turns out that these theorems are natural extensions of the classical strong (weak) laws of large numbers to the case where probability measures are no longer additive.

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Cites work

• A general central limit theorem under sublinear expectations
• A strong law of large numbers for capacities
• Limit laws for non-additive probabilities and their frequentist interpretation
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• On the regularity theory of fully nonlinear parabolic equations: II
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations

Cited in

(20)

• Law of large numbers under Choquet expectations
• Weak and strong limit theorems for stochastic processes under nonadditive probability
• Exponential stability of SDEs driven by \(G\)-Brownian motion with delayed impulsive effects: average impulsive interval approach
• Weak laws of large numbers for sublinear expectation
• Some inequalities and limit theorems under sublinear expectations
• A new proof for the generalized law of large numbers under Choquet expectation
• General results on precise asymptotics under sub-linear expectations
• The laws of large numbers for Pareto-type random variables under sub-linear expectation
• Strong laws of large numbers for sub-linear expectations
• Laws of large numbers for g-probabilities
• Stability of square-mean almost automorphic mild solutions to impulsive stochastic differential equations driven by G-Brownian motion
• Note on strong law of large number under sub-linear expectation
• Strong laws of large numbers for negatively dependent random variables under sublinear expectations
• Law of large numbers for Peng g-expectation
• Sobolev-type stochastic differential equations driven by G-Brownian motion
• A strong law of large number for negatively dependent and non identical distributed random variables in the framework of sublinear expectation
• Weak and strong laws of large numbers for sub-linear expectation
• On a Spitzer-type law of large numbers for partial sums of independent and identically distributed random variables under sub-linear expectations
• The laws of large numbers for Pareto-type random variables under sub-linear expectation
• Central limit theorems for bounded random variables under belief measures

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