Local time and Tanaka formula of G-martingales

2018/06/10 by Liu, Guomin
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1806.03565

Abstract

The objective of this paper is to study the local time and Tanaka formula of symmetric G-martingales. We introduce the local time of G-martingales and show that they belong to G-expectation space L_G²(Ω_T). The bicontinuous modification of local time is obtained. We finally give the Tanaka formula for convex functions of G-martingales.

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