The law of the iterated logarithm for bmm-dependent stationary random variables under sub-linear expectations
Abstract
This paper explores the Law of the Iterated Logarithm (LIL) for $m$-dependent sequences under the framework of sub-linear expectations. We first extend existing LIL results to sequences of independent, non-identically distributed random variables under sub-linear expectations. This extension serves as a crucial intermediary step, facilitating the subsequent establishment of the LIL for $m$-dependent stationary sequences. On the other hand, we also establish necessary conditions for $m$-dependent sequences in sub-linear expectation spaces.
Fields of Study & Subjects
Probability and Risk Models
Risk and Portfolio Optimization
Stochastic processes and financial applications
Publication details
- Journal / source
- Scientia Sinica Mathematica
- Publication date
- 1 July 2026
- Language
- EN