$G$-martingale representation in the $G$-L'evy setting

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.

References in corpus (2)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Backward Stochastic Differential Equations Driven by G-Brownian Motion

Cited by in corpus (1)

• On the properites of Poisson random measures associated with a G-Levy process