Quasi-continuous random variables and processes under the G-expectation framework

被引：45

作者：

Hu, Mingshang ^{[1
]}

Wang, Falei ^{[2
,3
]}

Zheng, Guoqiang ^{[3
]}

机构：

[1] Shandong Univ, Zhongtai Inst Finance, Jinan 250100, Peoples R China

[2] Shandong Univ, Inst Adv Res, Jinan 250100, Peoples R China

[3] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2016年 / 126卷 / 08期

基金：

中国博士后科学基金; 中国国家自然科学基金;

关键词：

G-expectation; G-Brownian motion; Quasi-continuous; Krylov's estimates; G-BROWNIAN MOTION; STOCHASTIC CALCULUS; THEOREM; DRIVEN;

D O I：

10.1016/j.spa.2016.02.003

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 first use PDE techniques and probabilistic methods to identify a kind of quasi continuous random variables. Then we give a characterization of the G-integrable processes and get a kind of quasi-continuous processes by Krylov's estimates. This result is useful for the development of G-stochastic analysis theory. Moreover, it also provides a tool for the study of the non-Markovian Ito processes. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：2367 / 2387

页数：21

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