Moment bounds for IID sequences under sublinear expectations

DOI10.1007/S11425-011-4272-ZzbMATH Open1384.60084arXiv1104.5295OpenAlexW2152088337MaRDI QIDQ659985FDOQ659985

Feng Hu

Publication date: 24 January 2012

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

Abstract: In this paper, with the notion of independent identically distributed (IID) random variables under sublinear expectations introduced by Peng [7-9], we investigate moment bounds for IID sequences under sublinear expectations. We can obtain a moment inequality for a sequence of IID random variables under sublinear expectations. As an application of this inequality, we get the following result: For any continuous function $phi$ satisfying the growth condition $|phi(x)|leqC(1+|x{|}^p)$ for some $C>0$, $pgeq1$ depending on $phi$, central limit theorem under sublinear expectations obtained by Peng [8] still holds.

Full work available at URL: https://arxiv.org/abs/1104.5295

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zbMATH Keywords

central limit theoremmoment boundsublinear expectation\(G\)-normal distributionIID random variables

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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Cited In (5)

• Central limit theorems for sub-linear expectation under the Lindeberg condition
• Central limit theorem for linear processes generated by IID random variables under the sub-linear expectation
• Multi-dimensional central limit theorems and laws of large numbers under sublinear expectations
• How big are the increments of \(G\)-Brownian motion?
• The modulus of continuity theorem for G-Brownian motion

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