On the strong Markov property for stochastic differential equations driven by G-Brownian motion

Mingshang Hu, Xiaojun Ji and Guomin Liu

Stochastic Processes and their Applications, 2021, vol. 131, issue C, 417-453

Abstract: The objective of this paper is to study the strong Markov property for the stochastic differential equations driven by G-Brownian motion (G-SDEs for short). We first extend the deterministic-time conditional G-expectation to optional times. The strong Markov property for G-SDEs is then obtained by Kolmogorov’s criterion for tightness. In particular, for any given optional time τ and G-Brownian motion B, the reflection principle for B holds and (Bτ+t−Bτ)t≥0 is still a G-Brownian motion.

Keywords: G-expectation; Strong Markov property; Stochastic differential equations; G-Brownian motion; Reflection principle (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2020.09.015

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