Strong laws of large numbers for sub-linear expectations

Abstract

We investigate three kinds of strong laws of large numbers for capacities with a new notion of independently and identically distributed (IID) random variables for sub-linear expectations initiated by Peng. It turns out that these theorems are natural and fairly neat extensions of the classical Kolmogorov's strong law of large numbers to the case where probability measures are no longer additive. An important feature of these strong laws of large numbers is to provide a frequentist perspective on capacities.