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Pure Mathematics 2020
关于序列投资模型中的一个强极限定理
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Abstract:
本文给出渐近样本相对熵的概念作为任意投资序列联合分布与其边缘分布之间不相似性的度量，利用Borel-Cantelli引理，得到了一般市场条件下序列投资模型的一个强极限定理。
In this paper, we use the notion of asymptotic sampling relative entropy as the dissimilarity be-tween the true distribution of investment market and their margins. Furthermore, by using Boreel-Cantelli lemma, a strong limiting theorem for successive investment under general market condition is obtained.
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