| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156305 | Stochastic Processes and their Applications | 2009 | 17 Pages |
Abstract
In this paper, we study the martingale characterization of G-Brownian motion, which was defined by Peng (cf. http://abelsymposium.no/symp2005/preprints/peng.pdf) in 2006. As an application, we present a method for constructing a G-Brownian motion using a Markov chain. Furthermore, we obtain the representation theorem for some special symmetric martingales in the G-framework.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Jing Xu, Bo Zhang,