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Independence Under the $$G$$ -Expectation Framework

Author

Listed:
  • Mingshang Hu

    (Shandong University)

  • Xiaojuan Li

    (Shandong Youth University of Political Science)

Abstract

We show that, for two non-trivial random variables $$X$$ and $$Y$$ under a sublinear expectation space, if $$X$$ is independent from $$Y$$ and $$Y$$ is independent from $$X$$ , then $$X$$ and $$Y$$ must be maximally distributed.

Suggested Citation

  • Mingshang Hu & Xiaojuan Li, 2014. "Independence Under the $$G$$ -Expectation Framework," Journal of Theoretical Probability, Springer, vol. 27(3), pages 1011-1020, September.
    • Handle: RePEc:spr:jotpro:v:27:y:2014:i:3:d:10.1007_s10959-012-0471-y
    DOI: 10.1007/s10959-012-0471-y
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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.
    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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    Cited by:

    1. Francesca Biagini & Andrea Mazzon & Katharina Oberpriller, 2023. "Multi-dimensional fractional Brownian motion in the G-setting," Papers 2312.12139, arXiv.org, revised Aug 2024.

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