A new proof for the generalized law of large numbers under Choquet expectation

[摘要] In this article, we employ the elementary inequalities arising from the sub-linearity of Choquet expectation to give a new proof for the generalized law of large numbers under Choquet expectations induced by 2-alternating capacities with mild assumptions. This generalizes the Linderberg–Feller methodology for linear probability theory to Choquet expectation framework and extends the law of large numbers under Choquet expectation from the strong independent and identically distributed (iid) assumptions to the convolutional independence combined with the strengthened first moment condition.

[学科分类] 电力

[关键词] Law of large numbers;Choquet expectation;Convolutional independence;The strengthened first moment condition;New proof