\(G\)-Lévy processes under sublinear expectations

DOI10.3934/puqr.2021001zbMath1480.60158arXiv0911.3533OpenAlexW3142426491MaRDI QIDQ2038276

Shige Peng, Ming Shang Hu

Publication date: 6 July 2021

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3533

zbMATH Keywords

Lévy processLévy-Khintchine formula\(G\)-Brownian motion\(G\)-expectationsublinear expectation\(G\)-normal distribution\(G\)-Lévy processLévy-Itô decomposition\(G\)-Poisson process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)

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