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2017 Product space for two processes with independent increments under nonlinear expectations
Qiang Gao, Mingshang Hu, Xiaojun Ji, Guomin Liu
Electron. Commun. Probab. 22: 1-12 (2017). DOI: 10.1214/17-ECP46

Abstract

In this paper, we consider the product space for two processes with independent increments under nonlinear expectations. By introducing a discretization method, we construct a nonlinear expectation under which the given two processes can be seen as a new process with independent increments.

Citation

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Qiang Gao. Mingshang Hu. Xiaojun Ji. Guomin Liu. "Product space for two processes with independent increments under nonlinear expectations." Electron. Commun. Probab. 22 1 - 12, 2017. https://doi.org/10.1214/17-ECP46

Information

Received: 7 March 2016; Accepted: 17 January 2017; Published: 2017
First available in Project Euclid: 26 January 2017

zbMATH: 06681213
MathSciNet: MR3607806
Digital Object Identifier: 10.1214/17-ECP46

Subjects:
Primary: 60E05, 60H10

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