Limit Laws of the Iterated Logarithm Under Sub-linear Expectations

Abstract

Let $\{Y_n; n\ge 1\}$ be a sequence of independent and identically distributed random variables with mean zero in Peng's framework of the sub-linear expectation space $(Ω,\mathscr{H},\widehat{\mathbb E})$, and $S_n=\sum_{i=1}^nY_i$. In this paper, we establish a limit law of \begin{align*}\lim_{n\to \infty}\max_{k\le n}\frac{S_k}{\sqrt{2k \log\log n}}. \end{align*} Different from the result obtained by Chen (2015) in which the limit is a constant, it is shown that under the upper capacity the limit may be prescribed as a given function of $Y_1,Y_2,\ldots$, taking values in the standard deviation interval. As a result, it is also shown that the set of limit points in the compact law of the iterated logarithm can be a symmetric random interval. This paper (Chinese version) has been submitted to Special Issue of Science in China-Mathematics in Celebration of Professor Peng Shige's 80th Birthday.