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

DOI10.1016/j.jmaa.2019.123436zbMath1479.60145arXiv1805.11370OpenAlexW2805358990MaRDI QIDQ2325965

Xiaojun Ji, Ming Shang Hu, 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

reflection principle\(G\)-Brownian motion\(G\)-expectationmartingale characterization

Mathematics Subject Classification ID

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

Related Items (2)

Local time and Tanaka formula of \(G\)-martingales ⋮ Infinite horizon BSDEs under consistent nonlinear expectations

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