Almost Sure Central Limit Theorem in Sub-linear Expectation Spaces

arXiv1804.09971MaRDI QIDQ6300840FDOQ6300840

Authors: Weihuan Huang, Panyu Wu 

Publication date: 26 April 2018

Abstract: Peng (2006) initiated a new kind of central limit theorem under sub-linear expectations. Song (2017) gave an estimate of the rate of convergence of Peng's central limit theorem. Based on these results, we establish a new kind of almost sure central limit theorem under sub-linear expectations in this paper, which is a quasi sure convergence version of Peng's central limit theorem. Moreover, this result is a natural extension of the classical almost sure central limit theorem to the case where the probability is no longer additive. Meanwhile, we prove a new kind of strong law of large numbers for non-additive probabilities without the independent identically distributed assumption.

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