The Independence under Sublinear Expectations

2011/07/02 by Mingshang Hu, Hu, Mingshang · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1107.0361

openalex publication_date 2011/07/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We show that, for two non-trivial random variables X and Y under a sublinear expectation space, if X is independent from Y and Y is independent from X, then X and Y must be maximally distributed.

Citations

• Tightness, weak compactness of nonlinear expectations and application to CLT

Cited by

• Optimal Unbiased Estimation for Maximal Distribution

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