Properties of hitting times for G-martingales and their applications

doi:10.1016/j.spa.2011.04.007

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	Properties of hitting times for G-martingales and their applications
	Song, Yongsheng
	2011-08-01
发表期刊	STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN	0304-4149
卷号	121 期号:8 页码:1770-1784
摘要	In 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.
关键词	G-martingale Stopping time Stopped process
DOI	10.1016/j.spa.2011.04.007
语种	英语
资助项目	National Basic Research Program of China (973 Program)[2007CB814902] ; Key Lab of Random Complex Structures and Data Science ; Chinese Academy of Sciences[2008DP173182]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000292575200006
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12807
专题	应用数学研究所
通讯作者	Song, Yongsheng
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 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.