Xu, Jing; Zhang, Bo - In: Stochastic Processes and their Applications 119 (2009) 1, pp. 232-248
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...