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Properties of hitting times for G-martingales and their applications
Song, Yongsheng
2011-08-01
Source PublicationSTOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN0304-4149
Volume121Issue:8Pages:1770-1784
AbstractIn this article, we consider the properties of hitting times for G-martingales 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 one-dimensional G-Brownian motion are quasi-continuous. As an application, we improve the G-martingale representation theorems of [7]. (C) 2011 Elsevier B.V. All rights reserved.
KeywordG-martingale Stopping time Stopped process
DOI10.1016/j.spa.2011.04.007
Language英语
Funding ProjectNational Basic Research Program of China (973 Program)[2007CB814902] ; Key Lab of Random Complex Structures and Data Science ; Chinese Academy of Sciences[2008DP173182]
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000292575200006
PublisherELSEVIER SCIENCE BV
Citation statistics
Cited Times:17[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/12807
Collection应用数学研究所
AffiliationChinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Song, Yongsheng. Properties of hitting times for G-martingales and their applications[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2011,121(8):1770-1784.
APA Song, Yongsheng.(2011).Properties of hitting times for G-martingales and their applications.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,121(8),1770-1784.
MLA Song, Yongsheng."Properties of hitting times for G-martingales and their applications".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 121.8(2011):1770-1784.
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