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How small are the increments of G-Brownian motion

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  • Xu, Mingzhou
  • Cheng, Kun

Abstract

In this paper we study the problem: How small are the increments of G-Brownian motion? We establish the Csörgő and Révész’s type theorem for the increments of G-Brownian motion.

Suggested Citation

  • Xu, Mingzhou & Cheng, Kun, 2022. "How small are the increments of G-Brownian motion," Statistics & Probability Letters, Elsevier, vol. 186(C).
    • Handle: RePEc:eee:stapro:v:186:y:2022:i:c:s016771522200061x
    DOI: 10.1016/j.spl.2022.109464
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    References listed on IDEAS

    as
    1. Gao, Fuqing, 2009. "Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3356-3382, October.
    2. Qunying Wu, 2020. "Precise Asymptotics for Complete Integral Convergence under Sublinear Expectations," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-13, May.
    3. Gao, Fuqing & Jiang, Hui, 2010. "Large deviations for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2212-2240, November.
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