A strong law of large numbers for sub-linear expectation under a general moment condition

作者：Hu, Cheng^*

来源：Statistics & Probability Letters, 2016, 119: 248-258.

DOI：10.1016/j.spl.2016.08.015

• Strong law of large numbers
• Sub-linear expectation
• Capacity

In this paper, we derive a strong law of large numbers for sub-linear expectation under a general moment condition. The result can be reduced to the classical strong law of large numbers when the sub-linear expectation coincides with the classical linear expectation. Moreover, we illustrate that this moment condition for strong law of large numbers in sub linear situation is the weakest.

• 出版日期2016-12
• 单位山东大学