Maximally distributed random fields under sublinear expectation
Probability
2022-02-23 v1
Abstract
This paper focuses on the maximal distribution on sublinear expectation space and introduces a new type of random fields with the maximally distributed finite-dimensional distribution. The corresponding spatial maximally distributed white noise is constructed, which includes the temporal-spatial situation as a special case due to the symmetrical independence property of maximal distribution. In addition, the stochastic integrals with respect to the spatial or temporal-spatial maximally distributed white noises are established in a quite direct way without the usual assumption of adaptability for integrand.
Cite
@article{arxiv.2202.10699,
title = {Maximally distributed random fields under sublinear expectation},
author = {Xinpeng Li and Shige Peng},
journal= {arXiv preprint arXiv:2202.10699},
year = {2022}
}