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Characterizations of processes with stationary and independent increments under $G$ -expectation

Yongsheng Song — 2013

Annales de l'I.H.P. Probabilités et statistiques

Our purpose is to investigate properties for processes with stationary and independent increments under $G$ -expectation. As applications, we prove the martingale characterization of $G$ -Brownian motion and present a pathwise decomposition theorem for generalized $G$ -Brownian motion.

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Characterizations of processes with stationary and independent increments under G -expectation

Characterizations of processes with stationary and independent increments under $G$ -expectation