## Electronic Communications in Probability

### Product space for two processes with independent increments under nonlinear expectations

#### 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.

#### Article information

Source
Electron. Commun. Probab., Volume 22 (2017), paper no. 11, 12 pp.

Dates
Accepted: 17 January 2017
First available in Project Euclid: 26 January 2017

https://projecteuclid.org/euclid.ecp/1485421234

Digital Object Identifier
doi:10.1214/17-ECP46

Mathematical Reviews number (MathSciNet)
MR3607806

Zentralblatt MATH identifier
06681213

#### Citation

Gao, Qiang; Hu, Mingshang; Ji, Xiaojun; Liu, Guomin. Product space for two processes with independent increments under nonlinear expectations. Electron. Commun. Probab. 22 (2017), paper no. 11, 12 pp. doi:10.1214/17-ECP46. https://projecteuclid.org/euclid.ecp/1485421234

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