Nonlinear Lévy processes and their characteristics
نویسندگان
چکیده
منابع مشابه
Nonlinear Lévy Processes and their Characteristics
We develop a general construction for nonlinear Lévy processes with given characteristics. More precisely, given a set Θ of Lévy triplets, we construct a sublinear expectation on Skorohod space under which the canonical process has stationary independent increments and a nonlinear generator corresponding to the supremum of all generators of classical Lévy processes with triplets in Θ. The nonli...
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ژورنال
عنوان ژورنال: Transactions of the American Mathematical Society
سال: 2016
ISSN: 0002-9947,1088-6850
DOI: 10.1090/tran/6656