Kolmogorov's converse exponential inequality for lower capacities

About 5 years old · traced to

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

s‾n2=∑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 xn→∞x_n\to\infty and xn/s‾n→0x_n/\underline{s}_n\to0. Suppose

∑i=1kn∣E^[Xn,i]∣s‾nxn→0,∑i=1kn∣E^[Xn,i]∣s‾nxn→0\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,i∣≤αs‾n/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 inf⁡n→∞xn−2ln⁡V(∑i=1knXn,i≥zs‾nxn)≥−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<zα≤π(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.

References

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).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.