A strong law of large numbers for iterated functions of independent random variables

We study sequences of random variables obtained by iterative procedures, which can be thought of as nonlinear generalizations of the arithmetic mean. We prove a strong law of large numbers for a class of such iterations. This gives rise to the concept of generalized expected value of a random variable, for which we prove an analog of the classical Jensen inequality. We give several applications to models arising in mathematical physics and other areas.