The Sufficient and Necessary Conditions of the Strong Law of Large Numbers under Sub-linear Expectations

Abstract

In this paper, by establishing a Borel–Cantelli lemma for a capacity which is not necessarily continuous, and a link between a sequence of independent random variables under the sub-linear expectation and a sequence of independent random variables on ℝ^∞ under a probability, we give the sufficient and necessary conditions of the strong law of large numbers for independent and identically distributed random variables under the sub-linear expectation, and the sufficient and necessary conditions for the convergence of an infinite series of independent random variables, without the assumption on the continuity of the capacities. A purely probabilistic proof of a weak law of large numbers is also given.