American Institute of Mathematical Sciences

Advanced
March  2021, 6(1): 1-22. doi: 10.3934/puqr.2021001

G-Lévy processes under sublinear expectations

Mingshang Hu 1, and  Shige Peng 2,,

1. 

Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan 250100, Shandong, China
2. 

School of Mathematics, Shandong University, Jinan 250100, Shandong, China

Email: humingshang@sdu.edu.cn, peng@sdu.edu.cn

Received  June 22, 2020 Accepted  December 14, 2020 Published  March 2021

Fund Project: This work was supported by National Key R&D Program of China (Grant No. 2018YFA0703900), National Natural Science Foundation of China (Grant No. 11671231) , Tian Yuan Fund of the National Natural Science Foundation of China (Grant Nos. 11526205 and 11626247) and National Basic Research Program of China (973 Program) (Grant No. 2007CB814900).

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.

Keywords: Sublinear expectation, G-normal distribution, G-Brownian motion, G-expectation, Lévy process, G-Lévy process, G-Poisson process, Lévy-Khintchine formula, Lévy-Itô decomposition.
Mathematics Subject Classification: 60H10; 60J60; 60J65.
Citation: Mingshang Hu, Shige Peng. G-Lévy processes under sublinear expectations. Probability, Uncertainty and Quantitative Risk, 2021, 6 (1) : 1-22. doi: 10.3934/puqr.2021001
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]

Huber, P., Robust Statistics, Wiley, New York, 1981.

[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]

Huber, P., Robust Statistics, Wiley, New York, 1981.

[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.

[1]

Guangjun Shen, Xueying Wu, Xiuwei Yin. Stabilization of stochastic differential equations driven by G-Lévy process with discrete-time feedback control. Discrete and Continuous Dynamical Systems - B, 2021, 26 (2) : 755-774. doi: 10.3934/dcdsb.2020133
[2]

Huijie Qiao, Jiang-Lun Wu. Path independence of the additive functionals for stochastic differential equations driven by G-lévy processes. Probability, Uncertainty and Quantitative Risk, 2022, 7 (2) : 101-118. doi: 10.3934/puqr.2022007
[3]

Yong-Kum Cho. On the Boltzmann equation with the symmetric stable Lévy process. Kinetic and Related Models, 2015, 8 (1) : 53-77. doi: 10.3934/krm.2015.8.53
[4]

Hongjun Gao, Fei Liang. On the stochastic beam equation driven by a Non-Gaussian Lévy process. Discrete and Continuous Dynamical Systems - B, 2014, 19 (4) : 1027-1045. doi: 10.3934/dcdsb.2014.19.1027
[5]

Yongxia Zhao, Rongming Wang, Chuancun Yin. Optimal dividends and capital injections for a spectrally positive Lévy process. Journal of Industrial and Management Optimization, 2017, 13 (1) : 1-21. doi: 10.3934/jimo.2016001
[6]

Karel Kadlec, Bohdan Maslowski. Ergodic boundary and point control for linear stochastic PDEs driven by a cylindrical Lévy process. Discrete and Continuous Dynamical Systems - B, 2020, 25 (10) : 4039-4055. doi: 10.3934/dcdsb.2020137
[7]

Wen Chen, Song Wang. A finite difference method for pricing European and American options under a geometric Lévy process. Journal of Industrial and Management Optimization, 2015, 11 (1) : 241-264. doi: 10.3934/jimo.2015.11.241
[8]

Hamza Ruzayqat, Ajay Jasra. Unbiased parameter inference for a class of partially observed Lévy-process models. Foundations of Data Science, 2022, 4 (2) : 299-322. doi: 10.3934/fods.2022008
[9]

Zhengyan Lin, Li-Xin Zhang. Convergence to a self-normalized G-Brownian motion. Probability, Uncertainty and Quantitative Risk, 2017, 2 (0) : 4-. doi: 10.1186/s41546-017-0013-8
[10]

Editorial Office. Retraction: Wei Gao and Juan L. G. Guirao, Preface. Discrete and Continuous Dynamical Systems - S, 2019, 12 (4&5) : i-i. doi: 10.3934/dcdss.201904i
[11]

Jiangyan Peng, Dingcheng Wang. Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns. Journal of Industrial and Management Optimization, 2017, 13 (1) : 155-185. doi: 10.3934/jimo.2016010
[12]

Yulin Song. Density functions of distribution dependent SDEs driven by Lévy noises. Communications on Pure and Applied Analysis, 2021, 20 (6) : 2399-2419. doi: 10.3934/cpaa.2021087
[13]

Badr-eddine Berrhazi, Mohamed El Fatini, Tomás Caraballo, Roger Pettersson. A stochastic SIRI epidemic model with Lévy noise. Discrete and Continuous Dynamical Systems - B, 2018, 23 (6) : 2415-2431. doi: 10.3934/dcdsb.2018057
[14]

Sel Ly, Nicolas Privault. $ G $-expectation approach to stochastic ordering. Frontiers of Mathematical Finance, , () : -. doi: 10.3934/fmf.2021012
[15]

Francesca Biagini, Thilo Meyer-Brandis, Bernt Øksendal, Krzysztof Paczka. Optimal control with delayed information flow of systems driven by G-Brownian motion. Probability, Uncertainty and Quantitative Risk, 2018, 3 (0) : 8-. doi: 10.1186/s41546-018-0033-z
[16]

Edson Pindza, Francis Youbi, Eben Maré, Matt Davison. Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models. Discrete and Continuous Dynamical Systems - S, 2019, 12 (3) : 625-643. doi: 10.3934/dcdss.2019040
[17]

Adam Andersson, Felix Lindner. Malliavin regularity and weak approximation of semilinear SPDEs with Lévy noise. Discrete and Continuous Dynamical Systems - B, 2019, 24 (8) : 4271-4294. doi: 10.3934/dcdsb.2019081
[18]

Yang Yang, Kaiyong Wang, Jiajun Liu, Zhimin Zhang. Asymptotics for a bidimensional risk model with two geometric Lévy price processes. Journal of Industrial and Management Optimization, 2019, 15 (2) : 481-505. doi: 10.3934/jimo.2018053
[19]

Xiangjun Wang, Jianghui Wen, Jianping Li, Jinqiao Duan. Impact of $\alpha$-stable Lévy noise on the Stommel model for the thermohaline circulation. Discrete and Continuous Dynamical Systems - B, 2012, 17 (5) : 1575-1584. doi: 10.3934/dcdsb.2012.17.1575
[20]

Tomasz Kosmala, Markus Riedle. Variational solutions of stochastic partial differential equations with cylindrical Lévy noise. Discrete and Continuous Dynamical Systems - B, 2021, 26 (6) : 2879-2898. doi: 10.3934/dcdsb.2020209

 Impact Factor: 

Tools

Metrics

  • PDF downloads (432)
  • HTML views (685)
  • Cited by (0)

Other articles
by authors

[Back to Top]

Copyright © 2022 American Institute of Mathematical Sciences | Privacy Policy