General martingale characterization of G-Brownian motion

DOI10.1080/07362994.2013.828572zbMATH Open1286.60048OpenAlexW2035495794MaRDI QIDQ5746992FDOQ5746992

Authors: Qian Lin 

Publication date: 11 February 2014

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

Full work available at URL: https://doi.org/10.1080/07362994.2013.828572

Recommendations

• Martingale characterization of \(G\)-Brownian motion
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• Martingale property and capacity under \(G\)-framework
• Martingale representation theorem for \(G\)-Brownian motion
• Lévy's martingale characterization and reflection principle of \(G\)-Brownian motion

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationmartingale characterization\(G\)-martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Nonlinear expectations and nonlinear Markov chains
• Extension and Application of Itô's Formula UnderG-Framework
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Martingale characterization of \(G\)-Brownian motion

Cited In (11)

• Functional Shige Peng's central limit theorems for martingale vectors
• Martingale property and capacity under \(G\)-framework
• Martingale characterization of \(G\)-Brownian motion
• Distributed Consensus and Convergence Rate Analysis of Multiagent Systems with Noises under $G$-Expectation
• Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations
• Characterizations of processes with stationary and independent increments under \(G\)-expectation
• Averaging principle for SDEs of neutral type driven by G-Brownian motion
• Girsanov's formula for \(G\)-Brownian motion
• Lévy's martingale characterization and reflection principle of \(G\)-Brownian motion
• Martingale representation theorem for \(G\)-Brownian motion
• Local time and Tanaka formula of \(G\)-martingales

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