General laws of large numbers under sublinear expectations

Details General laws of large numbers under sublinear expectations General laws of large numbers under sublinear expectations

2011-04-28

arxiv.org/abs/1104.5296v2

Mathematics

Probability

Scientific paper

In this paper, under some weaker conditions, we give three laws of large numbers under sublinear expectations (capacities), which extend Peng's law of large numbers under sublinear expectations in [8] and Chen's strong law of large numbers for capacities in [1]. It turns out that these theorems are natural extensions of the classical strong (weak) laws of large numbers to the case where probability measures are no longer additive.

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