• Title of article

    Martingale characterization of G-Brownian motion

  • Author/Authors

    Xu، نويسنده , , Jing and Zhang، نويسنده , , Bo، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2009
  • Pages
    17
  • From page
    232
  • To page
    248
  • Abstract
    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.
  • Keywords
    G-Brownian motion , Markov chain , G-expectation , Martingale characterization , Integral representation
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2009
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1578057

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1578057