Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition (Q547363)

A sublinear expectation induced by Peng's \(G\)-expectation is introduced, which is called \(G\)-evaluation. It is proved that, for any \(\xi \in L_G^\beta(\Omega_T)\) with some \(\beta >1\), the martingale decomposition theorem under \(G\)-expectation holds, and that any \(\beta\)-integrable symmetric \(G\)-martingale is represented as an Itô integral w.r.t. a \(G\)-Brownian motion. Non-symmetric martingales may exist due to the properties of Peng's \(G\)-expectation. Finally, the article contains the important result that any \(G\)-martingale has a quasi-continuous version.