Characterizations of processes with stationary and independent increments under \(G\)-expectation
DOI10.1214/12-AIHP492zbMath1282.60050arXiv1009.0109OpenAlexW2963795344MaRDI QIDQ1943328
Publication date: 19 March 2013
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.0109
decomposition theorem\(G\)-Brownian motion\(G\)-expectationstationary incrementsindependent incrementsmartingale characterization
Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Generalizations of martingales (60G48) Sample path properties (60G17)
Related Items (4)
Cites Work
- Uniqueness of the representation for \(G\)-martingales with finite variation
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Martingale representation theorem for the \(G\)-expectation
- Properties of hitting times for \(G\)-martingales and their applications
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Martingale characterization of \(G\)-Brownian motion
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
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