A strong law of large numbers under sublinear expectations

Abstract: We consider a sequence of i.i.d. random variables

x i_{k}

under a sublinear expectation

m a t h b b E = s u p_{P i n T h e t a} E_{P}

. We first give a new proof to the fact that, under each

P i n T h e t a

, any cluster point of the empirical averages

lies in

with

. Then, we consider sublinear expectations on a Polish space

O m e g a

, and show that for each constant

, there exists a probability

P_{m u} i n T h e t a

such that �egin {eqnarray}label {intro-a.s.} lim_{n ightarrowinfty}�ar{xi}_n=mu, P_{mu} extmd{-a.s.}, end {eqnarray} supposing that

T h e t a

is weakly compact and

x i_{n} i n L_{m a t h b b E}^{1} (O m e g a)

. Under the same conditions, we can get a generalization of ( ef {intro-a.s.}) in the product space

O m e g a = m a t h b b R^{m a t h b b N}

with

replaced by

, where

p i

is a Borel measurable function on

m a t h b b R^{d}

,

d i n m a t h b b R

. Finally, we characterize the triviality of the tail

s i g m a

-algebra of i.i.d. random variables under a sublinear expectation.

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