Martingale characterization of G-Brownian motion

Jing Xu and Bo Zhang

Stochastic Processes and their Applications, 2009, vol. 119, issue 1, 232-248

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; G-expectation; Martingale; characterization; Markov; chain; Integral; representation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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