Properties of hitting times for G-martingales and their applications

Stochastic Processes and their Applications

Volumn 121, Issue 8, 2011, Pages 1770-1784

  Song, Yongsheng ^a  

^a CHINESE ACADEMY OF SCIENCES   (China)

Author keywords

G martingale; Stopped process; Stopping time

Indexed keywords

G-BROWNIAN MOTION; G-MARTINGALE; HITTING TIME; REPRESENTATION THEOREM; STOPPED PROCESS; STOPPING TIME;

BROWNIAN MOVEMENT;

EID: 79958088309     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2011.04.007     Document Type: Article

References (8)

1. L. Denis, M. Hu, S. Peng, Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion paths, 9 February 2008. arXiv:0802.1240v1 [math.PR].
2. S. Peng G-expectation, G-Brownian motion and related stochastic calculus of It type Stochastic Analysis and Applications Abel Symp., 2 2007 Springer Berlin 541 567
3. S. Peng, G-Brownian motion and dynamic risk measure under volatility uncertainty, Preprint, 2007. arXiv:0711.2834v1 [math.PR] 19 November 2007.
4. S. Peng Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation Stochastic Processes and their Applications 118 12 2008 2223 2253
5. M. Soner, N. Touzi, J. Zhang, Martingale representation theorem under G-expectation, Preprint, 2009.
6. M. Soner, N. Touzi, J. Zhang, Martingale representation theorem for the G-expectation, 2010. arXiv: 1001.3802v2.
7. Y. Song, Some properties on G-evaluation and its applications to G-martingale decomposition, Preprint, 2010. arXiv:1001.2802v1 [math.PR] 17 January 2010.
8. J.A. Yan Lecture Note on Measure Theory 1998 Science Press Beijing (Chinese version)