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Properties of hitting times for G-martingales and their applications

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  • Song, Yongsheng

Abstract

In this article, we consider the properties of hitting times for G-martingales and the stopped processes. We prove that the stopped processes for G-martingales are still G-martingales and that the hitting times for a class of G-martingales including one-dimensional G-Brownian motion are quasi-continuous. As an application, we improve the G-martingale representation theorems of [7].

Suggested Citation

  • Song, Yongsheng, 2011. "Properties of hitting times for G-martingales and their applications," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1770-1784, August.
    • Handle: RePEc:eee:spapps:v:121:y:2011:i:8:p:1770-1784
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    References listed on IDEAS

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    1. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
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    Cited by:

    1. Liu, Guomin, 2020. "Exit times for semimartingales under nonlinear expectation," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7338-7362.
    2. Marcel Nutz & Ramon van Handel, 2012. "Constructing Sublinear Expectations on Path Space," Papers 1205.2415, arXiv.org, revised Apr 2013.
    3. Song, Yongsheng, 2019. "Properties of G-martingales with finite variation and the application to G-Sobolev spaces," Stochastic Processes and their Applications, Elsevier, vol. 129(6), pages 2066-2085.
    4. Nutz, Marcel & van Handel, Ramon, 2013. "Constructing sublinear expectations on path space," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3100-3121.

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