Product space for two processes with independent increments under nonlinear expectations

2016/01/21 by Qiang Gao, Gao, Qiang, Mingshang Hu +5
Computer Science · Economics, Econometrics and Finance · Mathematics · #60E05 #60H10 #Applied mathematics #Computer science #Construct (python library) #Discretization #Economic theories and models #FOS: Mathematics #Geometry #Mathematical analysis #Mathematics #Nonlinear system #Optimization and Variational Analysis #Physics #Probability (math.PR) #Process (computing) #Product (mathematics) #Product topology #Quantum mechanics #Space (punctuation) #Stochastic processes and financial applications #math.PR #msc:60E05 #msc:60H10

paper · pdf · doi:10.48550/arxiv.1601.05507

12 pages

arxiv created 2016/01/21 · openalex publication_date 2016/01/21 · arxiv updated 2016/01/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Citations

• Tightness, weak compactness of nonlinear expectations and application to CLT
• A New Central Limit Theorem under Sublinear Expectations

Related

• Characterizations of processes with stationary and independent increments under G-expectation
• Independent increment processes: A multilinearity preserving property
• Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces
• Nonlinear Lévy Processes and their Characteristics
• G-Lévy Processes under Sublinear Expectations