Product space for two processes with independent increments under nonlinear expectations

DOI10.1214/17-ECP46MaRDI QIDQ507790zbMATH OpenOpenAlexFDO

Authors Qiang Gao, Xiaojun Ji, Guomin Liu, Mingshang Hu

Publication date 7 February 2017

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.05507, https://projecteuclid.org/euclid.ecp/1485421234

zbMATH Keywords

distributionindependence\(G\)-expectationnonlinear expectationtightness

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Foundations of stochastic processes (60G05)

Abstract: In this paper, we consider the product space for two processes with independent increments under nonlinear expectations. By introducing a discretization method, we construct a nonlinear expectation under which the given two processes can be seen as a new process with independent increments.

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(2)

• Regularity for product space under sublinear expectation framework
• Independent increment processes: a multilinearity preserving property

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