Article ID Journal Published Year Pages File Type
7548902 Statistics & Probability Letters 2016 11 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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