On Cramér's theorem for capacities

DOI10.1016/J.CRMA.2010.07.033zbMath1206.60029OpenAlexW2051842686MaRDI QIDQ710852

Feng Hu

Publication date: 22 October 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2010.07.033

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) Large deviations (60F10)

Related Items (14)

ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS ⋮ Large deviation principle for random variables under sublinear expectations on \(\mathbb{R}^d\) ⋮ Large deviation principle for linear processes generated by real stationary sequences under the sub-linear expectation ⋮ Representation of weakly maxitive monetary risk measures and their rate functions ⋮ An upper bound of large deviations for capacities ⋮ How big are the increments of \(G\)-Brownian motion? ⋮ Worst-case large deviations upper bounds for i.i.d. sequencesunder ambiguity ⋮ A non-exponential extension of Sanov’s theorem via convex duality ⋮ Large deviation for negatively dependent random variables under sublinear expectation ⋮ Moderate deviations principle for independent random variables under sublinear expectations ⋮ The modulus of continuity theorem for G-Brownian motion ⋮ Concentration inequalities for upper probabilities ⋮ On complete convergence for extended independent random variables under sub-linear expectations ⋮ Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains

Cites Work

• Unnamed Item
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Convex measures of risk and trading constraints
• Coherent Measures of Risk

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