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ArticleStrong laws of large numbers for sub-linear expectations

Unknown author2015

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Strong laws of large numbers for sub-linear expectations

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133 citations·0/0 files stored·Science China Mathematics

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Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

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References

1989Subjective Probability and Expected Utility without Additivity 2002Ambiguity, Risk, and Asset Returns in Continuous Time 1987Expected utility with purely subjective non-additive probabilities 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation 1999Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type 2009Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations 2001Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle 2005NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS

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2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications 2017Strong law of large numbers and Chover's law of the iterated logarithm under sub-linear expectations 2022Strong Limit Theorems for Extended Independent Random Variables and Extended Negatively Dependent Random Variables under Sub-Linear Expectations 2017Theory, methods and meaning of nonlinear expectation theory

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2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applicationsother · 5 shared references 2005Choquet expectation and Peng’s g-expectationarticle · 5 shared references 2015Rosenthal’s inequalities for independent and negatively dependent random variables under sub-linear expectations with applicationsarticle · 4 shared references 2022Strong Limit Theorems for Extended Independent Random Variables and Extended Negatively Dependent Random Variables under Sub-Linear Expectationsarticle · 4 shared references 2017Theory, methods and meaning of nonlinear expectation theoryarticle · 4 shared references 2018Three Series Theorem for Independent Random Variables under Sub-linear Expectations with Applicationsarticle · 4 shared references

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Year2015

Typearticle

Published2015-12-05

VenueScience China Mathematics

ISSN-L1869-1862

Languageen

Citations133

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11425-015-5095-0

openalex_workW1584998157

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2014

How big are the increments of G-Brownian motion?

2021Optimal unbiased estimation for maximal distribution

2020The Convergence of the Sums of Independent Random Variables Under the Sub-linear Expectations

2018Three Series Theorem for Independent Random Variables under Sub-linear Expectations with Applications