Product space for two processes with independent increments under nonlinear expectations

DOI10.1214/17-ECP46zbMATH Open1395.60039arXiv1601.05507OpenAlexW2962884291MaRDI QIDQ507790FDOQ507790

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)

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.

Full work available at URL: https://arxiv.org/abs/1601.05507

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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)

Cited In (2)

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

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