Acta mathematica scientia, Series B >
RELATIVE ENTROPY AND LARGE DEVIATIONS UNDER SUBLINEAR EXPECTATIONS
Received date: 2011-03-21
Online published: 2012-09-20
Supported by
Research supported by the National Natural Science Foundation of China(11171262) and the Specialized Research Fund for the Doctoral Program of Higher Education (200804860048).
We give a definition of relative entropy with respect to a sublinear expectation and establish large deviation principle for the empirical measures for independent random variables under the sublinear expectation.
GAO Fu-Qing , XU Ming-Zhou . RELATIVE ENTROPY AND LARGE DEVIATIONS UNDER SUBLINEAR EXPECTATIONS[J]. Acta mathematica scientia, Series B, 2012 , 32(5) : 1826 -1834 . DOI: 10.1016/S0252-9602(12)60143-X
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