Large deviation principle for random variables under sublinear expectations on R^d

DOI10.1016/J.JMAA.2020.124110zbMATH Open1434.60096OpenAlexW3015085144MaRDI QIDQ2173797FDOQ2173797

Authors: Yuzhen Tan, Gaofeng Zong 

Publication date: 17 April 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2020.124110

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zbMATH Keywords

model uncertaintylarge deviation principlesublinear expectationupper probability

Mathematics Subject Classification ID

Large deviations (60F10)

Cites Work

• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Title not available (Why is that?)
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• A strong law of large numbers for capacities
• A strong law of large numbers for non-additive probabilities
• Central limit theorem for capacities
• A general central limit theorem under sublinear expectations
• Theory of capacities
• Strong laws of large numbers for sub-linear expectations
• Large deviations and moderate deviations for independent random variables under sublinear expectations
• Strong law of large numbers for upper set-valued and fuzzy-set valued probability
• On Cramér's theorem for capacities
• Large deviation for negatively dependent random variables under sublinear expectation
• A Weighted Central Limit Theorem Under Sublinear Expectations
• Large deviation principle for diffusion processes under a sublinear expectation
• A general strong law of large numbers for non-additive probabilities and its applications
• A strong law of large number for negatively dependent and non identical distributed random variables in the framework of sublinear expectation

Cited In (11)

• Equivalent conditions of complete convergence and Marcinkiewicz-Zygmund-type strong law of large numbers for i.i.d. sequences under sub-linear expectations
• Sample path large deviations for independent random variables under sub-linear expectations
• Weakly maxitive set functions and their possibility distributions
• On the moderate deviation principle for \(m\)-dependent random variables with sublinear expectation
• Large deviations and moderate deviations for independent random variables under sublinear expectations
• Large deviation principle for linear processes generated by real stationary sequences under the sub-linear expectation
• Large deviation principle for diffusion processes under a sublinear expectation
• Large deviation for negatively dependent random variables under sublinear expectation
• Moderate deviations principle for independent random variables under sublinear expectations
• Representation of weakly maxitive monetary risk measures and their rate functions
• An upper bound of large deviations for capacities

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