Acta mathematica scientia,Series B ›› 2012, Vol. 32 ›› Issue (5): 1826-1834.doi: 10.1016/S0252-9602(12)60143-X

• Articles • Previous Articles     Next Articles

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).

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

CLC Number: 

  • 60F15
Trendmd