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A law of large numbers under the nonlinear expectation

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Abstract

In this paper, we derive a law of large numbers under the nonlinear expectation generated by backward stochastic differential equations driven by G-Brownian motion.

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Authors and Affiliations

  1. Qilu Securities Institute for Financial studies and Department of Mathematics, Shandong University, Jinan, 250100, China

    Miao Zhang

  2. Qilu Securities Institute for Financial studies and Department of Mathematics, Shandong University, Jinan, 250100, China

    Zeng-jing Chen

Authors
  1. Miao Zhang
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  2. Zeng-jing Chen
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Corresponding author

Correspondence to Miao Zhang.

Additional information

Supported by the National Natural Science Foundation of China (No. 11211061 and No. 11231005) and Natural Science Foundation of Shandong Province (No. ZR2013AQ021).

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Zhang, M., Chen, Zj. A law of large numbers under the nonlinear expectation. Acta Math. Appl. Sin. Engl. Ser. 31, 953–962 (2015). https://doi.org/10.1007/s10255-015-0514-0

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  • DOI: https://doi.org/10.1007/s10255-015-0514-0

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