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G-Lévy processes under sublinear expectations

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).
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  • 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.

    Mathematics Subject Classification: 60H10; 60J60; 60J65.


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