数学物理学报(英文版) ›› 2012, Vol. 32 ›› Issue (5): 1826-1834.doi: 10.1016/S0252-9602(12)60143-X

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RELATIVE ENTROPY AND LARGE DEVIATIONS UNDER SUBLINEAR EXPECTATIONS

高付清|徐明周   

  1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
  • 收稿日期:2011-03-21 出版日期:2012-09-20 发布日期:2012-09-20
  • 基金资助:

    Research supported by the National Natural Science Foundation of China(11171262) and the Specialized Research Fund for the Doctoral Program of Higher Education (200804860048).

RELATIVE ENTROPY AND LARGE DEVIATIONS UNDER SUBLINEAR EXPECTATIONS

 GAO Fu-Qing, XU Ming-Zhou   

  1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
  • Received:2011-03-21 Online:2012-09-20 Published:2012-09-20
  • Supported by:

    Research supported by the National Natural Science Foundation of China(11171262) and the Specialized Research Fund for the Doctoral Program of Higher Education (200804860048).

摘要:

We give a definition of relative entropy with respect to a sublinear expectation and establish large deviation principle for the empirical measures for independent random variables under the sublinear expectation.

关键词: sublinear expectation, relative entropy, large deviation, empirical measure

Abstract:

We give a definition of relative entropy with respect to a sublinear expectation and establish large deviation principle for the empirical measures for independent random variables under the sublinear expectation.

Key words: sublinear expectation, relative entropy, large deviation, empirical measure

中图分类号: 

  • 60F15