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G-Gaussian Processes under Sublinear Expectations and q-Brownian Motion in Quantum Mechanics

By Shige Peng

Abstract

We provide a general approach to construct a stochastic process with a given consistent family of finite dimensional distributions under a nonlinear expectation space. We use this approach to construct a generalized Gaussian process under a sublinear expectation and a q-Brownian motion. The later one is under a complex-valued linear expectation, with which a new type of Feynman-Kac formula can be derived to represent the solution of a Schr\"odinger equation

Topics: Mathematics - Probability, 60G15, 60J65, 46N50
Year: 2011
OAI identifier: oai:arXiv.org:1105.1055
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