Some Estimates for Martingale Representation under G-Expectation

2010/04/07 by Ying Hu, Hu, Ying, Shigē Péng +2
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60H10 #Advanced Harmonic Analysis Research #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #math.PR #msc:60H10

paper · pdf · doi:10.48550/arxiv.1004.1098

16 pages

arxiv created 2010/04/07 · openalex publication_date 2010/04/07 · arxiv updated 2010/04/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We provides some useful estimates for solving martingale representation problem under G-expectations. We also study the corresponding conditions for the existence and uniqueness.

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