Properties of hitting times for $G$-martingale

Yongsheng Song

Properties of hitting times for $G$-martingale

Probability 2010-02-03 v2

Authors: Yongsheng Song

Abstract

In this article, we consider the properties of hitting times for $G$ -martingale 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 $G$ -Brownian motion are quasi-continuous. As an application, we improve the $G$ -martingale representation theorems in [Song10].

Keywords

G-martingale hitting times stopped processes quasi-continuous G-Brownian motion martingale representation theorem

Cite

@article{arxiv.1001.4907,
  title  = {Properties of hitting times for $G$-martingale},
  author = {Yongsheng Song},
  journal= {arXiv preprint arXiv:1001.4907},
  year   = {2010}
}

Comments

13 pages

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