Characterizations of processes with stationary and independent increments under \(G\)-expectation (Q1943328)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Characterizations of processes with stationary and independent increments under \(G\)-expectation |
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Characterizations of processes with stationary and independent increments under \(G\)-expectation (English)
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19 March 2013
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The author provides characterizations of stationarity and increments' independence in the frame of \(G\)-expectation, introduced by S. Peng. Many results refer to the cases of \(G\)-martingales and the relation of them to the \(G\)-Brownian motion. The corresponding results refer to the equivalent \(L^{a}\) spaces. At the beginning of the article, the author reminds of essential properties of the \(G\)-stochastics.
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stationary increments
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independent increments
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martingale characterization
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decomposition theorem
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\(G\)-Brownian motion
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\(G\)-expectation
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