A semigroup approach to nonlinear Lévy processes
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DOI: 10.1016/j.spa.2019.05.009
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References listed on IDEAS
- Neufeld, Ariel & Nutz, Marcel, 2014. "Measurability of semimartingale characteristics with respect to the probability law," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3819-3845.
- Dolinsky, Yan & Nutz, Marcel & Soner, H. Mete, 2012. "Weak approximation of G-expectations," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 664-675.
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Cited by:
- Criens, David & Niemann, Lars, 2024. "A class of multidimensional nonlinear diffusions with the Feller property," Statistics & Probability Letters, Elsevier, vol. 208(C).
- Lianzi Jiang & Gechun Liang, 2024. "A Robust $$\alpha $$ α -Stable Central Limit Theorem Under Sublinear Expectation without Integrability Condition," Journal of Theoretical Probability, Springer, vol. 37(3), pages 2394-2424, September.
- Daniel Bartl & Stephan Eckstein & Michael Kupper, 2020. "Limits of random walks with distributionally robust transition probabilities," Papers 2007.08815, arXiv.org, revised Apr 2021.
- Max Nendel, 2021. "Markov chains under nonlinear expectation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 474-507, January.
- Changhong Guo & Shaomei Fang & Yong He, 2023. "A Generalized Stochastic Process: Fractional G-Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-34, March.
- Fuhrmann, Sven & Kupper, Michael & Nendel, Max, 2021. "Wasserstein Perturbations of Markovian Transition Semigroups," Center for Mathematical Economics Working Papers 649, Center for Mathematical Economics, Bielefeld University.
- Criens, David & Niemann, Lars, 2024. "Markov selections and Feller properties of nonlinear diffusions," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
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Keywords
Lévy process; Convex expectation space; Markovian convolution semigroup; Fully nonlinear PDE; Nisio semigroup;All these keywords.
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