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ArticleProperties of hitting times for G -martingales and their applications

Yongsheng Song2011

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Articlebronze2011

Properties of hitting times for G -martingales and their applications

42 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Risk Models Fuzzy Systems and Optimization

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References

2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation 2010Martingale representation theorem for the G -expectation 2011Some properties on G-evaluation and its applications to G-martingale decomposition 2007G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty 2013Constructing sublinear expectations on path space 2007Stochastic Analysis and Applications

Cited by

2014How big are the increments of G-Brownian motion?2012Uniqueness of the representation for $G$-martingales with finite variation 2015$G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE 2017On existence and approximate solutions for stochastic differential equations in the framework of G-Brownian motion 2016A Note on pth Moment Estimates for Stochastic Functional Differential Equations in the Framework of G-Brownian Motion

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Year2011

Typearticle

Published2011-05-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2011.04.007

openalex_workW2010298677

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2016The modulus of continuity theorem for G -Brownian motion

2014A Weighted Central Limit Theorem Under Sublinear Expectations