A deviation inequality for increment of a G-Brownian motion under G-expectation and applications

Jie Xu

Statistics & Probability Letters, 2023, vol. 198, issue C

Abstract: In this paper, we prove a deviation inequality for increments of a G-Brownian motion under G-expectation. As an application, we obtain a functional modulus of continuity for a G-Brownian motion.

Keywords: Large deviation; G-Brownian motion; Under G-expectation; Modulus of continuity (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2023.109848

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