On representation theorem of sublinear expectation related to G-Lévy process and paths of G-Lévy process

Liying Ren

Statistics & Probability Letters, 2013, vol. 83, issue 5, 1301-1310

Abstract: In this paper, we are concerned with the representation of a sublinear expectation EG[⋅] associated with a new stochastic process G-Lévy process. We show the existence of a weakly compact family of probability measures P with respect to which EG[⋅] can be represented.

Keywords: Sublinear expectation; G-Lévy process; Càdlàg paths (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:5:p:1301-1310

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DOI: 10.1016/j.spl.2013.01.031

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