arXiv:1009.0109 Abstract | arXiv Analytics

arXiv:1009.0109 [math.PR]Abstract References Reviews Resources

Characterizations of processes with stationary and independent increments under $G$-expectation

Published 2010-09-01, updated 2011-09-08Version 2

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

Comments: 23

Categories: math.PR

Keywords: independent increments, stationary, expectation, brownian motion

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