Characterizations of processes with stationary and independent increments under G-expectation
Annales de l'I.H.P. Probabilités et statistiques, Tome 49 (2013) no. 1, pp. 252-269.

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.

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.

DOI : 10.1214/12-AIHP492
Classification : 60G10, 60G17, 60G48, 60G51
Mots-clés : stationary increments, independent increments, martingale characterization, decomposition theorem, $G$-Brownian motion, $G$-expectation 
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Song, Yongsheng. Characterizations of processes with stationary and independent increments under $G$-expectation. Annales de l'I.H.P. Probabilités et statistiques, Tome 49 (2013) no. 1, pp. 252-269. doi : 10.1214/12-AIHP492. http://archive.numdam.org/articles/10.1214/12-AIHP492/

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