Properties of hitting times for G-martingales and their applications

DOI10.1016/J.SPA.2011.04.007zbMATH Open1231.60054OpenAlexW2010298677MaRDI QIDQ555022FDOQ555022

Authors: 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

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zbMATH Keywords

stopping timestopped process\(G\)-martingale

Mathematics Subject Classification ID

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

Cites Work

• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• 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
• Martingale representation theorem for the \(G\)-expectation

Cited In (24)

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

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