Quasi-continuous random variables and processes under the G-expectation framework
Probability
2017-05-09 v2
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 -integrable processes and get a kind of quasi-continuous processes by Krylov's estimates. This result is useful for the development of -stochastic analysis theory. Moreover, it also provides a tool for the study of the non-Markovian It\^o processes.
Cite
@article{arxiv.1410.3207,
title = {Quasi-continuous random variables and processes under the G-expectation framework},
author = {Mingshang Hu and Falei Wang and Guoqiang Zheng},
journal= {arXiv preprint arXiv:1410.3207},
year = {2017}
}
Comments
22 pages