ON A SPITZER-TYPE LAW OF LARGE NUMBERS FOR PARTIAL SUMS OF INDEPENDENT AND IDENTICALLY DISTRIBUTED RANDOM VARIABLES UNDER SUB-LINEAR EXPECTATIONS
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In this paper, under some suitable conditions, we study the Spitzer-type law of large numbers for the maximum of partial sums of independent and identically distributed random variables in upper expectation space. Some general results on necessary and sufficient conditions of the Spitzer-type law of large numbers for the maximum of partial sums of independent and identically distributed random variables under sub-linear expectations are established, which extend the corresponding ones in classic probability space to the case of sub-linear expectation space.
Abstract
In this paper, under some suitable conditions, we study the Spitzer-type law of large numbers for the maximum of partial sums of independent and identically distributed random variables in upper expectation space. Some general results on necessary and sufficient conditions of the Spitzer-type law of large numbers for the maximum of partial sums of independent and identically distributed random variables under sub-linear expectations are established, which extend the corresponding ones in classic probability space to the case of sub-linear expectation space.
참고문헌 (34)
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