Exponential inequalities under the sub-linear expectations with applications to laws of the iterated logarithm

DOI10.1007/S11425-016-0079-1zbMATH Open1362.60031arXiv1409.0285OpenAlexW3100290651MaRDI QIDQ525907FDOQ525907

Lixin Zhang

Publication date: 5 May 2017

Published in: Science China. Mathematics (Search for Journal in Brave)

Abstract: Kolmogorov's exponential inequalities are basic tools for studying the strong limit theorems such as the classical laws of the iterated logarithm for both independent and dependent random variables. This paper establishes the Kolmogorov type exponential inequalities of the partial sums of independent random variables as well as negatively dependent random variables under the sub-linear expectations. As applications of the exponential inequalities, the laws of the iterated logarithm in the sense of non-additive capacities are proved for independent or negatively dependent identically distributed random variables with finite second order moments. For deriving a lower bound of an exponential inequality, a central limit theorem is also proved under the sub-linear expectation for random variables with only finite variances.

Full work available at URL: https://arxiv.org/abs/1409.0285

zbMATH Keywords

central limit theoremcapacitynegative dependencesublinear expectationlaw of iterated logarithmKolmogorov's exponential inequality

Mathematics Subject Classification ID

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

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Cited In (77)

• Strong limit theorems for weighted sums under the sub-linear expectations
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• Complete convergence and complete integral convergence for randomly weighted sums under the sublinear expectations
• Complete convergence for weighted sums of widely negative dependent random variables under the sub-linear expectations
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• Complete convergence for weighted sums of \(m\)-widely acceptable random variables under sub-linear expectations
• Complete and Complete Integral Convergence for Arrays of Rowwise Extended Negatively Dependent Random Variables under Sublinear Expectations
• Complete convergence and complete integral convergence for weighted sums of widely negative dependent random variables under the sub-linear expectations
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