The law of the iterated logarithm for bmm-dependent stationary random variables under sub-linear expectations

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Authors: Wang-Yun Gu, Lixin Zhang
Cited by: 0

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