A law of the iterated logarithm sublinear expectations

Published 15 Mar 2011 in math.PR | (1103.2965v2)

Abstract: In this paper, motivated by 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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