Martingale representation theorem for the G-expectation
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- Karandikar, Rajeeva L., 1995. "On pathwise stochastic integration," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 11-18, May.
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- Xu, Jing & Zhang, Bo, 2009. "Martingale characterization of G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(1), pages 232-248, January.
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Keywords
G-expectation G-martingale Nonlinear expectation Stochastic target problem Singular measure BSDE 2BSDE Duality;Statistics
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