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February 2013 Characterizations of processes with stationary and independent increments under $G$-expectation
Yongsheng Song
Ann. Inst. H. Poincaré Probab. Statist. 49(1): 252-269 (February 2013). DOI: 10.1214/12-AIHP492

Abstract

Our purpose is to investigate properties for processes with stationary and independent increments under $G$-expectation. As applications, we prove the martingale characterization of $G$-Brownian motion and present a pathwise decomposition theorem for generalized $G$-Brownian motion.

Notre but est d’étudier des propriétés de processus à accroissements stationnaires et indépendants sous une $G$-espérance. Comme application, nous démontrons la caractérisation de la martingale de $G$-mouvement Brownien et fournissons un théorème de décomposition trajectorielle pour le $G$-mouvement Brownien généralisé.

Citation

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Yongsheng Song. "Characterizations of processes with stationary and independent increments under $G$-expectation." Ann. Inst. H. Poincaré Probab. Statist. 49 (1) 252 - 269, February 2013. https://doi.org/10.1214/12-AIHP492

Information

Published: February 2013
First available in Project Euclid: 29 January 2013

zbMATH: 1282.60050
MathSciNet: MR3060156
Digital Object Identifier: 10.1214/12-AIHP492

Subjects:
Primary: 60G10, 60G17, 60G48, 60G51

Rights: Copyright © 2013 Institut Henri Poincaré

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Vol.49 • No. 1 • February 2013
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