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

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  • Xu, Jie

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.

Suggested Citation

  • Xu, Jie, 2023. "A deviation inequality for increment of a G-Brownian motion under G-expectation and applications," Statistics & Probability Letters, Elsevier, vol. 198(C).
    • Handle: RePEc:eee:stapro:v:198:y:2023:i:c:s016771522300072x
    DOI: 10.1016/j.spl.2023.109848
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    References listed on IDEAS

    as
    1. Li, Xinpeng & Peng, Shige, 2011. "Stopping times and related Itô's calculus with G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1492-1508, July.
    2. Gao, Fuqing & Jiang, Hui, 2010. "Large deviations for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2212-2240, November.
    3. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
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