Martingale characterization of G-Brownian motion
In this paper, we study the martingale characterization of G-Brownian motion, which was defined by Peng (cf. http://abelsymposium.no/symp2005/preprints/peng.pdf) in 2006. As an application, we present a method for constructing a G-Brownian motion using a Markov chain. Furthermore, we obtain the representation theorem for some special symmetric martingales in the G-framework.
Year of publication: |
2009
|
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Authors: | Xu, Jing ; Zhang, Bo |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 1, p. 232-248
|
Publisher: |
Elsevier |
Keywords: | G-Brownian motion G-expectation Martingale characterization Markov chain Integral representation |
Saved in:
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