A deviation inequality for increment of a G-Brownian motion under G-expectation and applications

被引：0

作者：

Xu, Jie ^{[1
,2
]}

机构：

[1] Henan Normal Univ, Coll Math & Informat Sci, Xinxiang 453007, Henan, Peoples R China

[2] Henan Normal Univ, Henan Engn Lab Big Data Stat Anal & Optimal Contro, Xinxiang 453007, Henan, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2023年 / 198卷

关键词：

Large deviation; G-Brownian motion; UnderG-expectation; Modulus of continuity; STOCHASTIC CALCULUS;

D O I：

10.1016/j.spl.2023.109848

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we prove a deviation inequality for increments of a G-Brownian motion under G-expectation. As an application, we obtain a functional modulus of continuity for a G-Brownian motion.(c) 2023 Elsevier B.V. All rights reserved.

引用

页数：8

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