Characterizations of processes with stationary and independent increments under G -expectation

Yongsheng Song

Annales de l'I.H.P. Probabilités et statistiques (2013)

  • Volume: 49, Issue: 1, page 252-269
  • ISSN: 0246-0203

Abstract

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Our purpose is to investigate properties for processes with stationary and independent increments under G -expectation. As applications, we prove the martingale characterization of G -Brownian motion and present a pathwise decomposition theorem for generalized G -Brownian motion.

How to cite

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Song, Yongsheng. "Characterizations of processes with stationary and independent increments under $G$-expectation." Annales de l'I.H.P. Probabilités et statistiques 49.1 (2013): 252-269. <http://eudml.org/doc/271964>.

@article{Song2013,
abstract = {Our purpose is to investigate properties for processes with stationary and independent increments under $G$-expectation. As applications, we prove the martingale characterization of $G$-Brownian motion and present a pathwise decomposition theorem for generalized $G$-Brownian motion.},
author = {Song, Yongsheng},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {stationary increments; independent increments; martingale characterization; decomposition theorem; $G$-Brownian motion; $G$-expectation; stationary increments; independent increments; martingale characterization; decomposition theorem; -Brownian motion; -expectation},
language = {eng},
number = {1},
pages = {252-269},
publisher = {Gauthier-Villars},
title = {Characterizations of processes with stationary and independent increments under $G$-expectation},
url = {http://eudml.org/doc/271964},
volume = {49},
year = {2013},
}

TY - JOUR
AU - Song, Yongsheng
TI - Characterizations of processes with stationary and independent increments under $G$-expectation
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2013
PB - Gauthier-Villars
VL - 49
IS - 1
SP - 252
EP - 269
AB - Our purpose is to investigate properties for processes with stationary and independent increments under $G$-expectation. As applications, we prove the martingale characterization of $G$-Brownian motion and present a pathwise decomposition theorem for generalized $G$-Brownian motion.
LA - eng
KW - stationary increments; independent increments; martingale characterization; decomposition theorem; $G$-Brownian motion; $G$-expectation; stationary increments; independent increments; martingale characterization; decomposition theorem; -Brownian motion; -expectation
UR - http://eudml.org/doc/271964
ER -

References

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  10. [10] Y. Song. Some properties on G -evaluation and its applications to G -martingale decomposition. Sci. China Math.54 (2011) 287–300. Zbl1225.60058MR2771205
  11. [11] Y. Song. Properties of hitting times for G -martingales and their applications. Stochastic Process. Appl.121 (2011) 1770–1784. Zbl1231.60054MR2811023
  12. [12] Y. Song. Uniqueness of the representation for G -martingales with finite variation. Electron. J. Probab.17 (2012) 1–15. Zbl1244.60046MR2900465
  13. [13] J. Xu and B. Zhang. Martingale characterization of G -Brownian motion. Stochastic Process. Appl.119 (2009) 232–248. Zbl1168.60024MR2485026

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