English

Some sample path properties of G-Brownian motion

Probability 2014-10-07 v3

Abstract

In this paper, we shall study the basic absolute properties of GG-Brownian motion, i.e., those properties which hold for q.s. ω\omega. These include the characterization of the zero set and the local maxima of the GG-Brownian motion paths. We also show that the indicator function of GG-Brownian motion is in LG1(Ω)\mathbb{L}_G^1(\Omega), which is an useful tool for the study of GG-expectation theory.

Cite

@article{arxiv.1407.0211,
  title  = {Some sample path properties of G-Brownian motion},
  author = {Falei Wang and Guoqiang Zheng},
  journal= {arXiv preprint arXiv:1407.0211},
  year   = {2014}
}

Comments

9 pages, better statements about Theorem 3.5

R2 v1 2026-06-22T04:52:22.647Z