Abstract
Let {Xn;n≥1} be a sequence of independent and identically distributed random variables in a sub-linear expectation space (Ω,ℋ,E) with a capacity V generated by E. The convergence rate of ∑n=1∞V(|∑k=1nXk|>ϵn) as ϵ→0 is studied. Heyde (1975)’s theorem is shown under the sub-linear expectation.
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