摘要
The sub-linear expectation or called G-expectation is a non-linear expectation having advantage of modeling non-additive probability problems and the volatilityuncertainty in finance.Let{Xn;n≥1}be a sequence of independent random vari-ables in a sub-linear expectation space(Ω,H,E^(^)).Denote S_(n)=∑_(k=1)^(n)Xk and=V_(n)^(2)=∑_(k=1)^(n)X_(k)^(2).In this paper,a moderate deviation for self-normalized sums,thatis,the asymptotic capacity of the event{Sn/Vn≥x_(n)}for x_(n)=o(√n),is found both for identically distributed random variables and independent but not necessarilyidentically distributed random variables.As an application,the self-normalized lawsof the iterated logarithm are obtained.A Bernstein's type inequality is also establishedfor proving the law of the iterated logarithm.
基金
Grants from the National Natural Science Foundation of China(No.11225104)
973 Program(No.2015CB352302)
the Fundamental Research Funds for the CentralUniversities.
