A note on the cluster set of the law of the iterated logarithm under sub-linear expectations

2022/02/25 by Zhang Li, Zhang, Li-Xin · 1 citation
Decision Sciences · Mathematics · Economics, Econometrics and Finance · #Probability and Risk Models #Stochastic processes and statistical mechanics #Financial Risk and Volatility Modeling

paper · pdf · doi:10.48550/arxiv.2202.12580

Abstract

In this note, we establish a compact law of the iterated logarithm under the upper capacity for independent and identically distributed random variables in a sub-linear expectation space. For showing the result, a self-normalized law of the iterated logarithm is established.

Cited by

• On the Law of the Iterated Logarithm for m-dependent stationary random variables under sub-linear expectations

Related

• On the law of the iterated logarithm under the sub-linear expectations
• Strassen's law of the iterated logarithm under sub-linear expectations
• On the Law of the Iterated Logarithm for m-dependent stationary random variables under sub-linear expectations
• The moments of the maximum of normalized partial sums related to laws of the iterated logarithm under the sub-linear expectation
• A comparison theorem under sublinear expectations and related limit theorems