Moment bounds for IID sequences under sublinear expectations

With the notion of independent identically distributed (IID) random variables under sublinear expectations introduced by Peng, we investigate moment bounds for IID sequences under sublinear expectations. We obtain a moment inequality for a sequence of IID random variables under sublinear expectations. As an application of this inequality, we get the following result: For any continuous function φ satisfying the growth condition |φ(x)| ⩽ C(1 + |x|p) for some C > 0, p ⩾ 1 depending on φ, the central limit theorem under sublinear expectations obtained by Peng still holds.