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General laws of large numbers under sublinear expectations

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  • Feng Hu
  • Zengjing Chen

Abstract

In this paper, under some weaker conditions, we give three laws of large numbers (LLNs) under sublinear expectations (capacities), which extend the LLN under sublinear expectations in Peng (2008b) and the strong LLN for capacities in Chen (2010). It turns out that these theorems are natural extensions of the classical strong (weak) LLNs to the case where probability measures are no longer additive.

Suggested Citation

  • Feng Hu & Zengjing Chen, 2016. "General laws of large numbers under sublinear expectations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(14), pages 4215-4229, July.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:14:p:4215-4229
    DOI: 10.1080/03610926.2014.917677
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