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

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  • Ren, Liying

Abstract

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.

Suggested Citation

  • Ren, Liying, 2013. "On representation theorem of sublinear expectation related to G-Lévy process and paths of G-Lévy process," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1301-1310.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:5:p:1301-1310
    DOI: 10.1016/j.spl.2013.01.031
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    References listed on IDEAS

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    1. Soner, H. Mete & Touzi, Nizar & Zhang, Jianfeng, 2011. "Martingale representation theorem for the G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 265-287, February.
    2. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
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    Cited by:

    1. Erhan Bayraktar & Alexander Munk, 2014. "An $\alpha$-stable limit theorem under sublinear expectation," Papers 1409.7960, arXiv.org, revised Jun 2016.
    2. Yuan, Haiyan & Zhu, Quanxin, 2023. "Discrete-time feedback stabilization for neutral stochastic functional differential equations driven by G-Lévy process," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
    3. Yuan, Mingxia & Wang, Bingjun & Yang, Zhiyan, 2023. "On the averaging principle for stochastic differential equations driven by G-Lévy process," Statistics & Probability Letters, Elsevier, vol. 195(C).

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