G-Lévy Processes under Sublinear Expectations

Details G-Lévy Processes under Sublinear Expectations G-Lévy Processes under Sublinear Expectations

2009-11-18

arxiv.org/abs/0911.3533v1

Mathematics

Probability

28 pages

Scientific paper

We introduce G-L\'{e}vy processes which develop the theory of processes with
independent and stationary increments under the framework of sublinear
expectations. We then obtain the L\'{e}vy-Khintchine formula and the existence
for G-L\'{e}vy processes. We also introduce G-Poisson processes.

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