Local time and Tanaka formula of $G$-martingales

Guomin Liu

Local time and Tanaka formula of $G$-martingales

Probability 2018-06-12 v1

Authors: Guomin Liu

Abstract

The objective of this paper is to study the local time and Tanaka formula of symmetric $G$ -martingales. We introduce the local time of $G$ -martingales and show that they belong to $G$ -expectation space $L_{G}^{2}(\Omega _{T})$ . The bicontinuous modification of local time is obtained. We finally give the Tanaka formula for convex functions of $G$ -martingales.

Keywords

g-martingales local time tanaka formula g-expectation probability theory

Cite

@article{arxiv.1806.03565,
  title  = {Local time and Tanaka formula of $G$-martingales},
  author = {Guomin Liu},
  journal= {arXiv preprint arXiv:1806.03565},
  year   = {2018}
}

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