$G$-martingale representation in the $G$-L'evy setting
Probability
2014-04-09 v1
Abstract
In this paper we give the decomposition of a martingale under the sublinear expectation associated with a -L'evy process X with finite activity and without drift. We prove that such a martingale consists of an Ito integral w.r.t. continuous part of a -L'evy process, compensated Ito-L'evy integral w.r.t. jump measure associated with and a non-increasing continuous -martingale starting at 0.
Keywords
Cite
@article{arxiv.1404.2121,
title = {$G$-martingale representation in the $G$-L'evy setting},
author = {Krzysztof Paczka},
journal= {arXiv preprint arXiv:1404.2121},
year = {2014}
}