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Martingale Property and Capacity under G-Framework


 
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1. Title Title of document Martingale Property and Capacity under G-Framework
 
2. Creator Author's name, affiliation, country Jing Xu; School of Economics and Business Administration; China
 
2. Creator Author's name, affiliation, country Bo Zhang; School of Statistics Renmin University of China; China
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) G-Brownian motion;G-expectation;Martingale characterization;Capacity
 
3. Subject Subject classification 60H05;60H10
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
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7. Date (YYYY-MM-DD) 2010-12-03
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/832
 
10. Identifier Digital Object Identifier 10.1214/EJP.v15-832
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 15
 
12. Language English=en
 
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