On representation theorem of sublinear expectation related to G-Lévy process and paths of G-Lévy process

Abstract

In this paper, we are concerned with the representation of an important sublinear expectation under which framework a new stochastic process G-Lévy process has been introduced. We show the existence of a weakly compact family of probability measures to give the representation by using two different methods.

16 pages

References in corpus (4)

• A New Central Limit Theorem under Sublinear Expectations
• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty
• Function spaces and capacity related to a Sublinear Expectation: application to G-Brownian Motion Pathes
• G-Lévy Processes under Sublinear Expectations

Cited by in corpus (2)

• Itô calculus and jump diffusions for $G$-Lévy processes
• $G$-martingale representation in the $G$-L'evy setting