Itô calculus and jump diffusions for $G$-Lévy processes

Krzysztof Paczka

Published 2012-11-13, updated 2014-11-10Version 3

The paper considers the integration theory for $G$-L\'evy processes with finite activity. We introduce the It\^o-L\'evy integrals, give the It\^o formula for them and establish SDE's, BSDE's and decoupled FBSDE's driven by $G$-L\'evy processes. In order to develop such a theory, we prove two key results: the representation of the sublinear expectation associated with a $G$-L\'evy process and a characterization of random variables in $L^p_G(\Omega)$ in terms of their quasi-continuity.