How small are the increments of G-Brownian motion

Mingzhou Xu and Kun Cheng

Statistics & Probability Letters, 2022, vol. 186, issue C

Abstract: In this paper we study the problem: How small are the increments of G-Brownian motion? We establish the Csörgő and Révész’s type theorem for the increments of G-Brownian motion.

Keywords: G-Brownian motion; Small increments of G-Brownian motion; Erdős–Rényi laws; Sublinear expectation (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2022.109464

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