Lévy's martingale characterization and reflection principle of G-Brownian motion

DOI10.1016/J.JMAA.2019.123436MaRDI QIDQ2325965zbMATH OpenOpenAlexFDO

Authors Mingshang Hu, Xiaojun Ji, Guomin Liu

Publication date 4 October 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.11370

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationmartingale characterizationreflection principle

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper, we obtain L'{e}vy's martingale characterization of $G$-Brownian motion without the nondegenerate condition. Base on this characterization, we prove the reflection principle of $G$-Brownian motion. Furthermore, we use Krylov's estimate to get the reflection principle of $ildeG$-Brownian motion.

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Cited in

(8)

• Martingale characterization of \(G\)-Brownian motion
• Infinite horizon BSDEs under consistent nonlinear expectations
• Local time and Tanaka formula of \(G\)-martingales
• scientific article; zbMATH DE number 4032744 (Why is no real title available?)
• General martingale characterization of \(G\)-Brownian motion
• G-Bessel processes and related properties
• Reflection principle and Ocone martingales
• Weak reflection principle for Lévy processes

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