Girsanov theorem for G-Brownian motion: the degenerate case

DOI10.1007/S10959-020-00997-ZMaRDI QIDQ2224951zbMATH OpenOpenAlexFDO

Authors Guomin Liu

Publication date 4 February 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.01825

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationGirsanov theorem

Mathematics Subject Classification ID

Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper, we prove the Girsanov formula for $G$-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the $G$-expectation space and a linear space that contains a standard Brownian motion. The estimates for exponential martingale of $G$-Brownian motion are important for our arguments.

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• A Girsanov type theorem under G-framework
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Girsanov's formula for \(G\)-Brownian motion
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion

Cited in

(8)

• Girsanov's formula for \(G\)-Brownian motion
• Girsanov's theorem in vector lattices
• A Girsanov type theorem under G-framework
• scientific article; zbMATH DE number 5117421 (Why is no real title available?)
• The Girsanov theorem without (so much) stochastic analysis
• On the Girsanov transformation of BMO martingales
• On the capacity for degenerated G-Brownian motion and its application
• Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations

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