Product space for two processes with independent increments under nonlinear expectations

Abstract

In this paper, we consider the product space for two processes with independent increments under nonlinear expectations. By introducing a discretization method, we construct a nonlinear expectation under which the given two processes can be seen as a new process with independent increments.

12 pages

References in corpus (3)

• Some properties on $G$-evaluation and its applications to $G$-martingale decomposition
• A New Central Limit Theorem under Sublinear Expectations
• Tightness, weak compactness of nonlinear expectations and application to CLT