Year: 2014
Type: article
Abstract: In this paper, with the notion of independent and identically distributed (IID) random variables under sublinear expectations initiated by Peng, we develop a law of the iterated logarithm (LIL) for capacities. It turns out that our theorem is a natural extension of the Kolmogorov and the Hartman–Wintner LIL.
Source: Journal of Financial Engineering
Authors: Zengjing Chen, Feng Hu
Institutions: Shandong University, Qufu Normal University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2148379282