Representation of G-martingales as stochastic integrals with respect to the G-Brownian motion

Qian Lin

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arXiv · 1003.3169

Representation of G-martingales as stochastic integrals with respect to the G-Brownian motion

Qian Lin

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Abstract

The objective of this paper is to derive a representation of symmetric G-martingales as stochastic integrals with respect to the G-Brownian motion. For this end, we first study some extensions of stochastic calculus with respect to G-martingales under the sublinear expectation spaces.

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Qian Lin. 2010-03-16. Representation of G-martingales as stochastic integrals with respect to the G-Brownian motion. https://arxiv.org/abs/1003.3169

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