On the asymptotic approximation of inverse moment under sub-linear expectations

DOI10.1016/J.JMAA.2018.08.010zbMATH Open1409.60034OpenAlexW2886038564WikidataQ129382616 ScholiaQ129382616MaRDI QIDQ2413992FDOQ2413992

Authors: Yanyan Li 

Publication date: 17 September 2018

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.2018.08.010

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zbMATH Keywords

convergence rateextended negatively dependent random variablesinverse momentssub-linear expectations

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

• Backward Stochastic Differential Equations in Finance
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Stochastic finance. An introduction in discrete time
• Exponential inequalities and inverse moment for NOD sequence
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Title not available (Why is that?)
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Expected utility with purely subjective non-additive probabilities
• Limit laws for non-additive probabilities and their frequentist interpretation
• Asymptotic approximation of inverse moments of nonnegative random variables
• On Fatou-type lemma for monotone moments of weakly convergent random variables.
• Approximations to inverse moments of double-indexed weighted sums
• On asymptotic approximation of inverse moments for a class of nonnegative random variables
• Approximation to the moments of ratios of cumulative sums
• On inverse moments of nonnegative random variables
• On inverse moments for a class of nonnegative random variables
• A note on asymptotic approximations of inverse moments of nonnegative random variables
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm
• Rosenthal's inequalities for independent and negatively dependent random variables under sub-linear expectations with applications
• Exponential inequalities under the sub-linear expectations with applications to laws of the iterated logarithm

Cited In (14)

• Capacity inequalities and strong laws for \(m\)-widely acceptable random variables under sub-linear expectations
• On complete convergence for extended independent random variables under sub-linear expectations
• Exponential inequalities under sub-linear expectations with applications to strong law of large numbers
• Precise asymptotics for complete integral convergence under sublinear expectations
• Approximations to inverse moments of double-indexed weighted sums
• Another form of Chover's law of the iterated logarithm under sub-linear expectations
• General results on precise asymptotics under sub-linear expectations
• Strong limit theorems of weighted sums for extended negatively dependent random variables under sub-linear expectations
• Deviation moments of the substitution estimator and its piecewise smooth approximations
• Complete \(f\)-moment convergence for extended negatively dependent random variables under sub-linear expectations
• A complete convergence theorem for weighted sums under the sub-linear expectations
• Complete and complete integral convergence for weighted sums of arrays of rowwise widely negative dependent random variables under the sub-linear expectations
• Complete and Complete Integral Convergence for Arrays of Rowwise Extended Negatively Dependent Random Variables under Sublinear Expectations
• Complete and complete moment convergence for weighted sums of arrays of rowwise negatively dependent random variables under the sub-linear expectations

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