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arXiv:1503.02845 [math.PR]AbstractReferencesReviewsResources

Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm

Li-Xin Zhang

Published 2015-03-10Version 1

We prove a new Donsker's invariance principle for independent and identically distributed random variables under the sub-linear expectation. As applications, the small deviations and Chung's law of the iterated logarithm are obtained.

Comments: 29 pages
Categories: math.PR
Subjects: 60F15, 60F05, 60H10, 60G48
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