Characterizations of processes with stationary and independent increments under $G$-expectation

Yongsheng Song

Characterizations of processes with stationary and independent increments under $G$-expectation

Probability 2011-09-09 v2

Authors: Yongsheng Song

Abstract

Our purpose is to investigate properties for processes with stationary and independent increments under $G$ -expectation. As applications, we prove the martingale characterization to $G$ -Brownian motion and present a decomposition for generalized $G$ -Brownian motion.

Keywords

g-expectation stationary and independent increments g-brownian motion martingale characterization generalized g-brownian motion

Cite

@article{arxiv.1009.0109,
  title  = {Characterizations of processes with stationary and independent increments under $G$-expectation},
  author = {Yongsheng Song},
  journal= {arXiv preprint arXiv:1009.0109},
  year   = {2011}
}

Comments

23

Related papers

View all related →