On the laws of the iterated logarithm with mean-uncertainty under sublinear expectations (Q2671656)

In this paper, a new Hartman-Wintner-type law of the iterated logarithm for independent random variables with mean-uncertainty under sublinear expectations is established by the martingale analogue of the Kolmogorov law of the iterated logarithm in classical probability theory. The law of the iterated logarithm (LIL), one of the fundamental strong laws, was established by Kolmogorov with boundedness condition for independent random variables and generalized by \textit{P. Hartman} and \textit{A. Wintner} [Am. J. Math. 63, 169--176 (1941; JFM 67.0460.03)] with the finite second moment condition while having the same distributions. Motivated by Knightian uncertainty problems in finance. \textit{S. Peng} [Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion. Berlin: Springer (2019; Zbl 1427.60004)] introduced new notions of distribution and independence on the sublinear expectation space. In most cases, the sublinear expectation can be represented as the supremum of a set of linear expectations. The first LIL on sublinear expectation spaces was proved by \textit{Z. Chen} and \textit{F. Hu} [``A law of the iterated logarithm under sublinear expectations'', J. Financ. Eng. 1, No. 2, Article ID 1450015, 15 p. (2014; \url{doi:10.1142/S2345768614500159})] under a mean condition that the sublinear expectation of the random variables is zero. The purpose of this paper is to study the LIL for random variables with mean-uncertainty. The authors believe that the results in this paper may also have potential applications in number theory.