The objective of this article is to derive a general martingale characterization of G-Brownian motion, which generalizes the results obtained in Xu [17]. For this end, we first study some extensions of stochastic calculus with respect to G-martingales under the sublinear expectation spaces

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with $N$ firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...