Shige Peng
Published 2011-05-05Version 1
We provide a general approach to construct a stochastic process with a given consistent family of finite dimensional distributions under a nonlinear expectation space. We use this approach to construct a generalized Gaussian process under a sublinear expectation and a q-Brownian motion. The later one is under a complex-valued linear expectation, with which a new type of Feynman-Kac formula can be derived to represent the solution of a Schr\"odinger equation.
An Iterative Approximation of the Sublinear Expectation of an Arbitrary Function of $G$-normal Distribution and the Solution to the Corresponding $G$-heat Equation
Comparing with octopi
Sublinear expectations for countable-state uncertain processes
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