Martingale characterization of G-Brownian motion

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:119

Article

Zhang, Bo¹ 

[1] Renmin Univ China, Sch Stat, Ctr Appl Stat, Beijing 100872, Peoples R China

关键词: G-Brownian motion;    G-expectation;    Martingale characterization;    Markov chain;    Integral representation;   

DOI  :  10.1016/j.spa.2008.02.001

来源: Elsevier

【 摘 要 】

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. (C) 2008 Elsevier B.V. All rights reserved.

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