On representation theorem of sublinear expectation related to \(G\)-Lévy process and paths of \(G\)-Lévy process

DOI10.1016/J.SPL.2013.01.031zbMath1287.60072arXiv1110.5448OpenAlexW2004044229MaRDI QIDQ385081

Liying Ren

Publication date: 29 November 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.5448

zbMATH Keywords

sublinear expectation\(G\)-Lévy processcàdlàg paths

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (7)

Upper bounds for ruin probabilities under model uncertainty ⋮ On the averaging principle for stochastic differential equations driven by \(G\)-Lévy process ⋮ Existence of solution for stochastic differential equations driven by \(G\)-Lévy process with discontinuous coefficients ⋮ Stabilization of stochastic differential equations driven by G-Lévy process with discrete-time feedback control ⋮ An \(\alpha\)-stable limit theorem under sublinear expectation ⋮ Exponential stability of solutions to stochastic differential equations driven by \(G\)-Lévy process ⋮ Nonlinear Lévy processes and their characteristics

Cites Work

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• Martingale representation theorem for the \(G\)-expectation
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Minimax tests and the Neyman-Pearson lemma for capacities
• Theory of capacities

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