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

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.

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Year of publication:	2013
Authors:	Ren, Liying
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 5, p. 1301-1310
Publisher:	Elsevier
Subject:	Sublinear expectation \| G-Lévy process \| Càdlàg paths

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039969