Quasi-continuous random variables and processes under the G-expectation framework

Mingshang Hu; Falei Wang; Guoqiang Zheng

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arXiv · 1410.3207

Quasi-continuous random variables and processes under the G-expectation framework

Mingshang Hu·Falei Wang·Guoqiang Zheng

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Abstract

In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi-continuous random variables. Then we give a characterization of the $G$-integrable processes and get a kind of quasi-continuous processes by Krylov's estimates. This result is useful for the development of $G$-stochastic analysis theory. Moreover, it also provides a tool for the study of the non-Markovian It\^o processes.

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BibTeX RIS

Mingshang Hu, Falei Wang, Guoqiang Zheng. 2014-10-13. Quasi-continuous random variables and processes under the G-expectation framework. https://arxiv.org/abs/1410.3207

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