Girsanov’s formula for G-Brownian motion

Emi Osuka

Stochastic Processes and their Applications, 2013, vol. 123, issue 4, 1301-1318

Abstract: In this paper, we establish Girsanov’s formula for G-Brownian motion. Peng (2007, 2008) [7,8] constructed G-Brownian motion on the space of continuous paths under a sublinear expectation called G-expectation; as obtained by Denis et al. (2011) [2], G-expectation is represented as the supremum of linear expectations with respect to martingale measures of a certain class. Our argument is based on this representation with an enlargement of the associated class of martingale measures, and on Girsanov’s formula for martingales in the classical stochastic analysis. The methodology differs from that of Xu et al. (2011) [13], and applies to the multidimensional G-Brownian motion.

Keywords: G-Brownian motion; G-expectation; Sublinear expectation space; Girsanov’s formula; Upper expectation (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:4:p:1301-1318

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DOI: 10.1016/j.spa.2012.12.009

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