RELATIVE ENTROPY AND LARGE DEVIATIONS UNDER SUBLINEAR EXPECTATIONS
RELATIVE ENTROPY AND LARGE DEVIATIONS UNDER SUBLINEAR EXPECTATIONS作者机构:School of Mathematics and StatisticsWuhan University
出 版 物:《Acta Mathematica Scientia》 (数学物理学报(B辑英文版))
年 卷 期:2012年第32卷第5期
页 面:1826-1834页
核心收录:
学科分类:02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0805[工学-材料科学与工程(可授工学、理学学位)] 0714[理学-统计学(可授理学、经济学学位)] 0704[理学-天文学] 070103[理学-概率论与数理统计] 0701[理学-数学]
基 金:supported by the National Natural Science Foundation of China(11171262) the Specialized Research Fund for the Doctoral Program of Higher Education (200804860048)
主 题:sublinear expectation relative entropy large deviation empirical measure
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.