Properties of hitting times for \(G\)-martingales and their applications

DOI10.1016/j.spa.2011.04.007zbMath1231.60054OpenAlexW2010298677MaRDI QIDQ555022

Yongsheng Song

Publication date: 22 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.04.007

zbMATH Keywords

stopping timestopped process\(G\)-martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Related Items (22)

Gradient estimates for nonlinear diffusion semigroups by coupling methods ⋮ Martingale inequalities under \(G\)-expectation and their applications ⋮ Sample path properties of \(G\)-Brownian motion ⋮ Local time and Tanaka formula of \(G\)-martingales ⋮ Extended conditional \(G\)-expectations and related stopping times ⋮ Optimal stopping under nonlinear expectation ⋮ G-Gaussian processes under sublinear expectations and \(q \)-Brownian motion in quantum mechanics ⋮ Characterizations of processes with stationary and independent increments under \(G\)-expectation ⋮ \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE ⋮ Existence and stability of solutions to non-linear neutral stochastic functional differential equations in the framework of G-Brownian motion ⋮ Constructing sublinear expectations on path space ⋮ How big are the increments of \(G\)-Brownian motion? ⋮ Exit times for semimartingales under nonlinear expectation ⋮ The quasi-sure limit of convex combinations of nonnegative measurable functions ⋮ An interval of no-arbitrage prices in financial markets with volatility uncertainty ⋮ Properties of \(G\)-martingales with finite variation and the application to \(G\)-Sobolev spaces ⋮ A note on the exponential \(G\)-martingale ⋮ Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion ⋮ The \(CEV\) model and its application to financial markets with volatility uncertainty ⋮ A note on \(p\)th moment estimates for stochastic functional differential equations in the framework of G-Brownian motion ⋮ A Weighted Central Limit Theorem Under Sublinear Expectations ⋮ The modulus of continuity theorem for G-Brownian motion

Cites Work

• Martingale representation theorem for the \(G\)-expectation
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Unnamed Item

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