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Weak laws of large numbers for sublinear expectation

  • * Corresponding author: Gaofeng Zong

    * Corresponding author: Gaofeng Zong

This work is supported in part by the National Science Foundation of China (Grant No.11501325, No.11231005), the China Postdoctoral Science Foundation (Grant No. 2018T110706) and the Taishan Scholars Climbing Program of Shandong

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  • In this paper we study the weak laws of large numbers for sublinear expectation. We prove that, without any moment condition, the weak laws of large numbers hold in the sense of convergence in capacity induced by some general sublinear expectations. For some specific sublinear expectation, for instance, mean deviation functional and one-side moment coherent risk measure, we also give weak laws of large numbers for corresponding capacity.

    Mathematics Subject Classification: Primary: 60B05, 60F05; Secondary: 60A86.

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