Independence Under the $$G$$ -Expectation Framework

Mingshang Hu () and Xiaojuan Li ()
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Mingshang Hu: Shandong University
Xiaojuan Li: Shandong Youth University of Political Science

Journal of Theoretical Probability, 2014, vol. 27, issue 3, 1011-1020

Abstract: Abstract We show that, for two non-trivial random variables $$X$$ and $$Y$$ under a sublinear expectation space, if $$X$$ is independent from $$Y$$ and $$Y$$ is independent from $$X$$ , then $$X$$ and $$Y$$ must be maximally distributed.

Keywords: Sublinear expectation; Maximal distribution; $$G$$ -Expectation; $$G$$ -Brownian motion; 60E05; 60H05 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10959-012-0471-y

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