Properties of hitting times for G-martingales and their applications

Yongsheng Song

Stochastic Processes and their Applications, 2011, vol. 121, issue 8, 1770-1784

Abstract: In this article, we consider the properties of hitting times for G-martingales and the stopped processes. We prove that the stopped processes for G-martingales are still G-martingales and that the hitting times for a class of G-martingales including one-dimensional G-Brownian motion are quasi-continuous. As an application, we improve the G-martingale representation theorems of [7].

Keywords: G-martingale; Stopping; time; Stopped; process (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414911000974
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:121:y:2011:i:8:p:1770-1784

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().