Doob's optional sampling and maximal inequality for G-martingales

MaRDI QIDQ6233394zbMATH OpenFDO

Authors Krzysztof Paczka

Publication date 31 May 2012

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Foundations of stochastic processes (60G05)

Abstract: The paper considers the martingale theory in the $G$-framework. A form of Doob's optional sampling is established, which allows to prove the exact analogue of the classical maximal inequality. The obtained results are used to improve the existing $G$-martingale representation theorems.

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