Levy's martingale characterization and reflection principle of G-Brownian motion

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:480

Article

Hu, Mingshang¹  Ji, Xiaojun²  Liu, Guomin³ 

[1] Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Shandong, Peoples R China

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

[3] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China

关键词: G-expectation;    G-Brownian motion;    Martingale characterization;    Reflection principle;   

DOI  :  10.1016/j.jmaa.2019.123436

来源: Elsevier

【 摘 要 】

In this paper, by a new kind of discrete product space method for martingales, we obtain Levy's martingale characterization of G-Brownian motion without the nondegenerate condition. Based on this characterization, we prove the reflection principle of G-Brownian motion. Furthermore, we use Krylov's estimate to get the reflection principle of the general G-Brownian motion. (C) 2019 Elsevier Inc. All rights reserved.

【 授权许可】

Free