Martingale characterization of G-Brownian motion

Stochastic Processes and their Applications

Volumn 119, Issue 1, 2009, Pages 232-248

  Xu, Jing ^a   Zhang, Bo ^a  

^a RENMIN UNIVERSITY OF CHINA   (China)

Author keywords

G Brownian motion; G expectation; Integral representation; Markov chain; Martingale characterization

Indexed keywords

MARKOV PROCESSES;

G-BROWNIAN MOTION; G-EXPECTATION; INTEGRAL REPRESENTATION; MARKOV CHAIN; MARTINGALE CHARACTERIZATION;

BROWNIAN MOVEMENT;

EID: 57149113777     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2008.02.001     Document Type: Article

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