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arXiv · 1404.2121

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

Krzysztof Paczka
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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.

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Krzysztof Paczka. 2014-04-08. $G$-martingale representation in the $G$-L'evy setting. https://arxiv.org/abs/1404.2121

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