A note on the exponential G-martingale

DOI10.1155/2013/247307MaRDI QIDQ2015263zbMATH OpenOpenAlexWikidataFDO

Authors Yunsheng Lu, Yingying Liu

Publication date 23 June 2014

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/247307

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Cites work

• A Girsanov type theorem under G-framework
• Continuous exponential martingales and BMO
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Properties of hitting times for \(G\)-martingales and their applications
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

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