Characterizations of processes with stationary and independent increments under G-expectation
نویسنده
چکیده
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. Résumé. Notre but est d’étudier des propriétés de processus à accroissements stationnaires et indépendants sous une G-espérance. Comme application, nous démontrons la caractérisation de la martingale de G-mouvement Brownien et fournissons un théorème de décomposition trajectorielle pour le G-mouvement Brownien généralisé. MSC: 60G10; 60G17; 60G48; 60G51
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