Quasi-continuous random variables and processes under the G-expectation framework

Mingshang Hu, Falei Wang and Guoqiang Zheng

Stochastic Processes and their Applications, 2016, vol. 126, issue 8, 2367-2387

Abstract: In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi-continuous random variables. Then we give a characterization of the G-integrable processes and get a kind of quasi-continuous processes by Krylov’s estimates. This result is useful for the development of G-stochastic analysis theory. Moreover, it also provides a tool for the study of the non-Markovian Itô processes.

Keywords: G-expectation; G-Brownian motion; Quasi-continuous; Krylov’s estimates (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:8:p:2367-2387

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DOI: 10.1016/j.spa.2016.02.003

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