Properties of hitting times for G-martingales and their applications

DOI10.1016/J.SPA.2011.04.007MaRDI QIDQ555022zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Quelques martingales associées à l'intégrale du processus d'ornstein- uhlenbeck. application à l'étude despremiers instants d'atteinte
• Continuous properties of \(g\)-martingales
• scientific article; zbMATH DE number 1336604
• Martingale inequalities under \(G\)-expectation and their applications
• scientific article; zbMATH DE number 1843496
• On the martingale property for generalized stochastic processes
• Stochastic calculus for Gaussian processes and application to hitting times

Cites work

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

Cited in

(24)

• Optimal stopping under nonlinear expectation
• Gradient estimates for nonlinear diffusion semigroups by coupling methods
• The measurability of hitting times
• The quasi-sure limit of convex combinations of nonnegative measurable functions
• Harnack inequalities for \(G\)-SDEs with multiplicative noise
• 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
• A note on pth 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
• G-Gaussian processes under sublinear expectations and \(q \)-Brownian motion in quantum mechanics
• 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?
• \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
• An interval of no-arbitrage prices in financial markets with volatility uncertainty
• Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
• Exit times for semimartingales under nonlinear expectation
• The modulus of continuity theorem for G-Brownian motion
• 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

This page was built for publication: Properties of hitting times for \(G\)-martingales and their applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q555022)