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arXiv · 0911.3533

G-Lévy Processes under Sublinear Expectations

Mingshang Hu·Shige Peng
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Abstract

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

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Mingshang Hu, Shige Peng. 2009-11-18. G-Lévy Processes under Sublinear Expectations. https://arxiv.org/abs/0911.3533

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