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G-Lévy processes under sublinear expectations
1. | Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan 250100, Shandong, China |
2. | School of Mathematics, Shandong University, Jinan 250100, Shandong, China |
We introduce G-Lévy processes which develop the theory of processes with independent and stationary increments under the framework of sublinear expectations. We then obtain the Lévy–Khintchine formula and the existence for G-Lévy processes. We also introduce G-Poisson processes.
References:
[1] |
Alvarez, O. and Tourin, A., Viscosity solutions of nonlinear integrodifferential equations, Ann. Inst. H. Poincaré Anal. Non Linéaire, 1996, 13(3): 293-317. |
[2] |
Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D., Thinking Coherently, RISK, 1997, 10: 68-71. |
[3] |
Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D., Coherent measures of risk, Mathematical Finance, 1999, 9(3): 203-228.
doi: 10.1111/1467-9965.00068. |
[4] |
Barles, G. and Imbert, C., Second-order elliptic integro-differential equations: viscosity solutions’ theory revisited, Ann. I. H. Poincaré-AN, 2008, 25: 567-585. |
[5] |
Bertoin, J., Lévy Processes, Cambridge University Press, 1996. |
[6] |
Crandall, M., Semidifferentials, quadratic forms and fully nonlinear elliptic equations of second order, Ann. Inst. H. Poincaré Anal. Non Linéaire, 1989, 6(6): 419-435. |
[7] |
Crandall, M. G., Ishii, H. and Lions, P.-L., User’S guide to viscosity solutions of second order partial differential equations, Bulletin of The American Mathematical Society, 1992, 27(1): 1-67.
doi: 10.1090/S0273-0979-1992-00266-5. |
[8] |
Delbaen, F., Coherent measures of risk on general probability space, In: Advances in Finance and Stochastics, Essays in Honor of Dieter Sondermann (Sandmann, K. and Schonbucher, P.J. eds.), Springer, Berlin, 2002: 1-37. |
[9] |
Denis, L., Hu, M. and Peng, S., Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion paths, Potential Anal., 2011, 34: 139-161.
doi: 10.1007/s11118-010-9185-x. |
[10] | |
[11] |
Hu, M. and Peng, S., On representation theorem of G-expectations and paths of G-Brownian motion, Acta Mathematicae Applicatae Sinica, English Series, 2009, 25(3): 539-546.
doi: 10.1007/s10255-008-8831-1. |
[12] |
Jakobsen, E.R. and Karlsen, K.H., A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations, NoDEA Nonlinear Differ. Equ. Appl., 2006, 13: 137-165.
doi: 10.1007/s00030-005-0031-6. |
[13] |
Lévy, P., Théorie de l’Addition des Variables Aléatoires, GauthierVillars, Paris, 1954. |
[14] |
Peng, S., Filtration consistent nonliear expectations and evaluations of contingent claims, Acta Mathematicae Applicatae Sinica, English Series, 2004, 20(2): 1-24. |
[15] |
Peng, S., Nonlinear expectations and nonlinear Markov chains, Chin. Ann. Math., 2005, 26B(2): 159-184. |
[16] |
Peng, S., G-Expectation, G-Brownian motion and related stochastic calculus of Itô’s type, In: Stochastic Analysis and Applications, Able Symposium, Abel Symposia 2, SpringerVerlag, 2007: 541-567. |
[17] |
Peng, S., Multi-Dimensional G-Brownian motion and related stochastic calculus under G-Expectation, Stochastic Processes and their Applications, 2008, 118: 2223-2253.
doi: 10.1016/j.spa.2007.10.015. |
[18] |
Peng, S., Nonlinear Expectations and Stochastic Calculus under Uncertainty, Springer, 2019. |
[19] |
Peng, S., A new central limit theorem under sublinear expectations, arXiv: 0803.2656v1, 2008. |
[20] |
Peng, S., Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations, Science in China Series A: Mathematics, 2009, 52(7): 1391-1411.
doi: 10.1007/s11425-009-0121-8. |
[21] |
Sato, K.-I., Lévy processes and infinitely divisible distributions, Cambridge University, 1999. |
show all references
References:
[1] |
Alvarez, O. and Tourin, A., Viscosity solutions of nonlinear integrodifferential equations, Ann. Inst. H. Poincaré Anal. Non Linéaire, 1996, 13(3): 293-317. |
[2] |
Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D., Thinking Coherently, RISK, 1997, 10: 68-71. |
[3] |
Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D., Coherent measures of risk, Mathematical Finance, 1999, 9(3): 203-228.
doi: 10.1111/1467-9965.00068. |
[4] |
Barles, G. and Imbert, C., Second-order elliptic integro-differential equations: viscosity solutions’ theory revisited, Ann. I. H. Poincaré-AN, 2008, 25: 567-585. |
[5] |
Bertoin, J., Lévy Processes, Cambridge University Press, 1996. |
[6] |
Crandall, M., Semidifferentials, quadratic forms and fully nonlinear elliptic equations of second order, Ann. Inst. H. Poincaré Anal. Non Linéaire, 1989, 6(6): 419-435. |
[7] |
Crandall, M. G., Ishii, H. and Lions, P.-L., User’S guide to viscosity solutions of second order partial differential equations, Bulletin of The American Mathematical Society, 1992, 27(1): 1-67.
doi: 10.1090/S0273-0979-1992-00266-5. |
[8] |
Delbaen, F., Coherent measures of risk on general probability space, In: Advances in Finance and Stochastics, Essays in Honor of Dieter Sondermann (Sandmann, K. and Schonbucher, P.J. eds.), Springer, Berlin, 2002: 1-37. |
[9] |
Denis, L., Hu, M. and Peng, S., Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion paths, Potential Anal., 2011, 34: 139-161.
doi: 10.1007/s11118-010-9185-x. |
[10] | |
[11] |
Hu, M. and Peng, S., On representation theorem of G-expectations and paths of G-Brownian motion, Acta Mathematicae Applicatae Sinica, English Series, 2009, 25(3): 539-546.
doi: 10.1007/s10255-008-8831-1. |
[12] |
Jakobsen, E.R. and Karlsen, K.H., A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations, NoDEA Nonlinear Differ. Equ. Appl., 2006, 13: 137-165.
doi: 10.1007/s00030-005-0031-6. |
[13] |
Lévy, P., Théorie de l’Addition des Variables Aléatoires, GauthierVillars, Paris, 1954. |
[14] |
Peng, S., Filtration consistent nonliear expectations and evaluations of contingent claims, Acta Mathematicae Applicatae Sinica, English Series, 2004, 20(2): 1-24. |
[15] |
Peng, S., Nonlinear expectations and nonlinear Markov chains, Chin. Ann. Math., 2005, 26B(2): 159-184. |
[16] |
Peng, S., G-Expectation, G-Brownian motion and related stochastic calculus of Itô’s type, In: Stochastic Analysis and Applications, Able Symposium, Abel Symposia 2, SpringerVerlag, 2007: 541-567. |
[17] |
Peng, S., Multi-Dimensional G-Brownian motion and related stochastic calculus under G-Expectation, Stochastic Processes and their Applications, 2008, 118: 2223-2253.
doi: 10.1016/j.spa.2007.10.015. |
[18] |
Peng, S., Nonlinear Expectations and Stochastic Calculus under Uncertainty, Springer, 2019. |
[19] |
Peng, S., A new central limit theorem under sublinear expectations, arXiv: 0803.2656v1, 2008. |
[20] |
Peng, S., Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations, Science in China Series A: Mathematics, 2009, 52(7): 1391-1411.
doi: 10.1007/s11425-009-0121-8. |
[21] |
Sato, K.-I., Lévy processes and infinitely divisible distributions, Cambridge University, 1999. |
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