G-L\'{e}vy Processes under Sublinear Expectations
Probability
2009-11-19 v1
Abstract
We introduce G-L\'{e}vy processes which develop the theory of processes with independent and stationary increments under the framework of sublinear expectations. We then obtain the L\'{e}vy-Khintchine formula and the existence for G-L\'{e}vy processes. We also introduce G-Poisson processes.
Keywords
Cite
@article{arxiv.0911.3533,
title = {G-L\'{e}vy Processes under Sublinear Expectations},
author = {Mingshang Hu and Shige Peng},
journal= {arXiv preprint arXiv:0911.3533},
year = {2009}
}
Comments
28 pages