It\^o calculus and jump diffusions for G-L\'evy processes

MaRDI QIDQ6237117zbMATH OpenFDO

Authors Krzysztof Paczka

Publication date 13 November 2012

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: The paper considers the integration theory for $G$-L'evy processes with finite activity. We introduce the It^o-L'evy integrals, give the It^o formula for them and establish SDE's, BSDE's and decoupled FBSDE's driven by $G$-L'evy processes. In order to develop such a theory, we prove two key results: the representation of the sublinear expectation associated with a $G$-L'evy process and a characterization of random variables in $L_G^p(Omega)$ in terms of their quasi-continuity.

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