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Product space for two processes with independent increments under nonlinear expectations

Research paper by Qiang Gao, Mingshang Hu, Xiaojun Ji, Guomin Liu

Indexed on: 20 Jan '16Published on: 20 Jan '16Published in: Mathematics - Probability



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.