Properties of hitting times for G-martingales and their applications
AbstractIn 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 .
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 121 (2011)
Issue (Month): 8 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Nutz, Marcel & van Handel, Ramon, 2013. "Constructing sublinear expectations on path space," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3100-3121.
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