A law of the iterated logarithm sublinear expectations

Details A law of the iterated logarithm sublinear expectations A law of the iterated logarithm sublinear expectations

2011-03-15

arxiv.org/abs/1103.2965v1

Mathematics

Probability

Scientific paper

In this paper, with the notion of independent identically distributed (IID)
random variables under sub-linear expectations initiated by Peng, we
investigate a law of the iterated logarithm for capacities. It turns out that
our theorem is a natural extension of the Kolmogorov and the Hartman-Wintner
laws of the iterated logarithm.

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