G-Lévy processes under sublinear expectations

By Mingshang Hu, Shige Peng. Probability, Uncertainty and Quantitative Risk, 2009

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We introduce G-Levy processes which develop the theory of processes with independent and stationary increments under the framework of sublinear expectations. We then obtain the Levy-Khintchine formula and the existence for G-Levy processes. We also introduce G-Poisson processes.

Subfields: Economics and Econometrics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/4ceb11dfa0f4804c4ba08e431c2c66469d779fbf