Product space for two processes with independent increments under nonlinear expectations

Qiang Gao; Mingshang Hu; Xiaojun Ji; Guomin Liu

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arXiv · 1601.05507

Product space for two processes with independent increments under nonlinear expectations

Qiang Gao·Mingshang Hu·Xiaojun Ji·Guomin Liu

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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.

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Qiang Gao, Mingshang Hu, Xiaojun Ji, Guomin Liu. 2016-01-21. Product space for two processes with independent increments under nonlinear expectations. https://arxiv.org/abs/1601.05507

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