@article{EJP832,
author = {Jing Xu and Bo Zhang},
title = {Martingale Property and Capacity under G-Framework},
journal = {Electron. J. Probab.},
fjournal = {Electronic Journal of Probability},
volume = {15},
year = {2010},
keywords = {G-Brownian motion;G-expectation;Martingale characterization;Capacity},
abstract = {The main purpose of this article is to study the symmetric martingale property and capacity defined by G-expectation introduced by Peng (cf. http://arxiv.org/PS_cache/math/pdf/0601/0601035v2.pdf) in 2006. We show that the G-capacity can not be dynamic, and also demonstrate the relationship between symmetric G-martingale and the martingale under linear expectation. Based on these results and path-wise analysis, we obtain the martingale characterization theorem for G Brownian motion without Markovian assumption. This theorem covers the Levy's martingale characterization theorem for Brownian motion, and it also gives a different method to prove Levy's theorem.},
pages = {no. 67, 2041-2068},
issn = {1083-6489},
doi = {10.1214/EJP.v15-832},
url = {http://ejp.ejpecp.org/article/view/832}}