Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8899279 | Journal of Mathematical Analysis and Applications | 2018 | 11 Pages |
Abstract
The present article is devoted to careful study of sample pathwise properties of G-Brownian motion, i.e., those which quasi-surely hold for all paths. We develop a comparison machinery to analyze the irregular functional of G-Brownian paths and to characterize their zero sets. The key ingredient of our approach is an estimate of solutions to G-heat equations. As a result, we prove that the G-Brownian motion path is nowhere differentiable.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Falei Wang, Guoqiang Zheng,