Levy's martingale characterization and reflection principle of G-Brownian motion

[摘要] In this paper, by a new kind of discrete product space method for martingales, we obtain Levy's martingale characterization of G-Brownian motion without the nondegenerate condition. Based on this characterization, we prove the reflection principle of G-Brownian motion. Furthermore, we use Krylov's estimate to get the reflection principle of the general G-Brownian motion. (C) 2019 Elsevier Inc. All rights reserved.

[发布日期] 2019-12-15

[关键词] G-expectation;G-Brownian motion;Martingale characterization;Reflection principle