Quasi-continuous random variables and processes under the G-expectation framework

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:126

Article

Hu, Mingshang¹  Wang, Falei^2,3  Zheng, Guoqiang³ 

[1] Shandong Univ, Zhongtai Inst Finance, Jinan 250100, Peoples R China

[2] Shandong Univ, Inst Adv Res, Jinan 250100, Peoples R China

[3] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

关键词: G-expectation;    G-Brownian motion;    Quasi-continuous;    Krylov's estimates;   

DOI  :  10.1016/j.spa.2016.02.003

来源: Elsevier

【 摘 要 】

In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi continuous random variables. Then we give a characterization of the G-integrable processes and get a kind of quasi-continuous processes by Krylov's estimates. This result is useful for the development of G-stochastic analysis theory. Moreover, it also provides a tool for the study of the non-Markovian Ito processes. (C) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

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