General martingale characterization of G-Brownian motion

DOI10.1080/07362994.2013.828572MaRDI QIDQ5746992zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectation\(G\)-martingalesmartingale characterization

Mathematics Subject Classification ID

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

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

Cites work

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

Cited in

(11)

• Martingale characterization of \(G\)-Brownian motion
• Girsanov's formula for \(G\)-Brownian motion
• Characterizations of processes with stationary and independent increments under \(G\)-expectation
• Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations
• Local time and Tanaka formula of \(G\)-martingales
• Lévy's martingale characterization and reflection principle of \(G\)-Brownian motion
• Averaging principle for SDEs of neutral type driven by G-Brownian motion
• Distributed consensus and convergence rate analysis of multiagent systems with noises under \(G\)-expectation
• Martingale representation theorem for \(G\)-Brownian motion
• Martingale property and capacity under \(G\)-framework
• Functional Shige Peng's central limit theorems for martingale vectors

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