Kolmogorov's converse exponential inequality for lower capacities

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Let {Xn,i;i=1,,kn}\{X_{n,i};i=1,\ldots,k_n\} be an array of independent random variables in the sub-linear expectation space (Ω,H,E^)(\Omega,\mathscr{H},\widehat{\mathbb E}) with

sn2=i=1knE^[Xn,i2].\underline{s}_n^2=\sum_{i=1}^{k_n}\widehat{\mathcal E}[X_{n,i}^2].

Let xnx_n be a sequence of positive numbers with xnx_n\to\infty and xn/sn0x_n/\underline{s}_n\to0. Suppose

i=1knE^[Xn,i]snxn0,i=1knE^[Xn,i]snxn0\frac{\sum_{i=1}^{k_n}|\widehat{\mathbb E}[X_{n,i}]|}{\underline{s}_nx_n}\to0,\qquad \frac{\sum_{i=1}^{k_n}|\widehat{\mathcal E}[X_{n,i}]|}{\underline{s}_nx_n}\to0

and there exists a positive number α\alpha such that Xn,iαsn/xn|X_{n,i}|\le\alpha\underline{s}_n/x_n for i=1,,kni=1,\ldots,k_n. Kolmogorov's converse exponential inequality. We conjecture that, for every γ>0\gamma>0, there exists a positive constant π(γ)\pi(\gamma) such that

lim infnxn2lnV(i=1knXn,izsnxn)z22(1+γ)\liminf_{n\to\infty}x_n^{-2}\ln\mathcal V\left(\sum_{i=1}^{k_n}X_{n,i}\ge z\underline{s}_nx_n\right)\ge-\frac{z^2}{2}(1+\gamma)

for all 0<zαπ(γ)0<z\alpha\le\pi(\gamma). This would provide the lower-capacity analogue of Kolmogorov's converse exponential inequality in the sub-linear expectation setting; the stated result is presented as a conjectural extension of the corresponding upper-capacity estimate.

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Primary source

Li-Xin Zhang, “On the laws of the iterated logarithm under the sub-linear expectations without the assumption on the continuity of capacities”, arXiv:2109.13083 (2021).

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