General Martingale Characterization ofG-Brownian Motion

DOI10.1080/07362994.2013.828572zbMath1286.60048OpenAlexW2035495794MaRDI QIDQ5746992

Qian Lin

Publication date: 11 February 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2013.828572

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationmartingale characterization\(G\)-martingales

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items

Local time and Tanaka formula of \(G\)-martingales ⋮ Averaging principle for SDEs of neutral type driven by G-Brownian motion ⋮ Martingale representation theorem for G-Brownian motion ⋮ Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations ⋮ Distributed Consensus and Convergence Rate Analysis of Multiagent Systems with Noises under $G$-Expectation

Cites Work

• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Martingale characterization of \(G\)-Brownian motion
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Nonlinear expectations and nonlinear Markov chains
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Extension and Application of Itô's Formula UnderG-Framework

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