A law of the iterated logarithm under sublinear expectations
A law of the iterated logarithm under sublinear expectations
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.