G-Lévy processes under sublinear expectations  

作　　者：Mingshang Hu Shige Peng 

机构地区：[1]Zhongtai Securities Institute for Financial Studies,Shandong University,Jinan 250100,Shandong,China [2]School of Mathematics,Shandong University,Jinan 250100,Shandong,China

出　　处：《Probability, Uncertainty and Quantitative Risk》2021年第1期1-22,共22页概率、不确定性与定量风险（英文）

基　　金：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);National Basic Research Program of China(973 Program)(Grant No.2007CB814900).

摘　　要：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.

关 键 词：Sublinear expectation G-normal distribution G-Brownian motion G-EXPECTATION Lévy process G-Lévy process G-Poisson process Lévy-Khintchine formula Lévy-Itôdecomposition 

分 类 号：O17[理学—数学]