Representation of G-martingales as stochastic integrals with respect to the G-Brownian motion

Details Representation of G-martingales as stochastic integrals with respect to the G-Brownian motion Representation of G-martingales as stochastic integrals with respect to the G-Brownian motion

2010-03-16

arxiv.org/abs/1003.3169v1

Mathematics

Probability

Workshop "Stochastic Control and Finance" March 18-23 2010, ROSCOFF, France

Scientific paper

The objective of this paper is to derive a representation of symmetric
G-martingales as stochastic integrals with respect to the G-Brownian motion.
For this end, we first study some extensions of stochastic calculus with
respect to G-martingales under the sublinear expectation spaces.

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