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 -Brownian motion, i.e., those properties which hold for q.s. . These include the characterization of the zero set and the local maxima of the -Brownian motion paths. We also show that the indicator function of -Brownian motion is in , which is an useful tool for the study of -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