{
  "id": "1404.2121",
  "version": "v1",
  "published": "2014-04-08T13:28:20.000Z",
  "updated": "2014-04-08T13:28:20.000Z",
  "title": "$G$-martingale representation in the $G$-L'evy setting",
  "authors": [
    "Krzysztof Paczka"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper we give the decomposition of a martingale under the sublinear expectation associated with a $G$-L'evy process X with finite activity and without drift. We prove that such a martingale consists of an Ito integral w.r.t. continuous part of a $G$-L'evy process, compensated Ito-L'evy integral w.r.t. jump measure associated with $X$ and a non-increasing continuous $G$-martingale starting at 0.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-04-08T13:28:20.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G44",
      "60G51",
      "60H05"
    ],
    "keywords": [
      "martingale representation",
      "levy setting",
      "levy process",
      "jump measure",
      "martingale consists"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1404.2121P"
    }
  }
}