Product space for two processes with independent increments under nonlinear expectations
Probability
2016-01-22 v1
Abstract
In this paper, we consider the product space for two processes with independent increments under nonlinear expectations. By introducing a discretization method, we construct a nonlinear expectation under which the given two processes can be seen as a new process with independent increments.
Cite
@article{arxiv.1601.05507,
title = {Product space for two processes with independent increments under nonlinear expectations},
author = {Qiang Gao and Mingshang Hu and Xiaojun Ji and Guomin Liu},
journal= {arXiv preprint arXiv:1601.05507},
year = {2016}
}
Comments
12 pages